(VF)L'objectif de cet article est de confronter deux mesures classiques du risque de défaillance de l'émetteur, la notation et l'écart de rentabilité. La première est attribuée par des agences spécialisées dans cette activité (Standard and Poor's et Moody's) alors que la seconde résulte du prix de l'obligation sur le marché financier. Cet article illustre et étudie ce lien sur une période de deux ans pour une quarantaine d'obligations émises en francs. Deux types de mesures de l'écart de rentabilité sont retenus et les résultats obtenus sur la grille de notation complète puis sur une grille de notation réduite montrent la prise en compte très partielle de cette information par les investisseurs sur le marché français.(VA)The main task of this paper is to confront two classical measures of default risk of the issuer, the rating and the spread. The first is attributed by agencies specialized in this activity (Standard and Poor's or Moody's) while the second results directly from the market price of the bond. This article studies this link over a period of two years for about forty French denominated bonds. Two measures of the spread are used and the results obtained show the very partial consideration of this information by the investors on the French bond market.
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Volume (Year): 6 (2003) Issue (Month): 3 (September) Pages: 5-22 Download reference. The following formats are available: HTML
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Handle: RePEc:dij:revfcs:v:6:y:2003:i:q3:p:5-22
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