Structural credit risk models have faced difficulties in matching observed market credit spreads while simultaneously matching default rates, recoveries, leverage and risk premia - a shortcoming that has become known as the credit spread puzzle. We ask whether stochastic asset volatility, as an...

In this article, we analyze the effects of the spread risk in terms of basis points from changes in the market prices of callable bond future due to credit risk. Due to the fact that fixed – income securities are debt that is issued and transferred between two parties there is significant...