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The effect of monetary policy on credit spreads

Cenesizoglu, Tolga; Essid, Badye - In: The journal of financial research 35 (2012) 4, pp. 581-613

Persistent link: https://www.econbiz.de/10009688969

Credit spreads, endogenous bankruptcy and liquidity risk

Fu, Jianping; Wang, Xingchun; Wang, Yongjin - In: Computational Management Science : CMS 9 (2012) 4, pp. 515-530

Persistent link: https://www.econbiz.de/10009657599

Inferring default probabilities from credit spreads

Benzschawel, Terry; Assing, Andrew - In: The journal of fixed income 21 (2012) 4, pp. 13-24

Persistent link: https://www.econbiz.de/10009670765

Default compensator, incomplete information, and the term structure of credit spreads

Giesecke, Kay - 2001

We provide a framework for the analysis of term structures of credit spreads on corporate bonds in the presence of informational asymmetries. While bond investors observe default incidents, we suppose that they have incomplete information on the firm's assets and/or the threshold asset level at...

Persistent link: https://www.econbiz.de/10009620780