An analysis of credit risk spreads for high yield bonds
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DOI: 10.1007/s11156-009-0162-7
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References listed on IDEAS
- Asquith, Paul & Mullins, David W, Jr & Wolff, Eric D, 1989. " Original Issue High Yield Bonds: Aging Analyses of Defaults, Exchanges, and Calls," Journal of Finance, American Finance Association, vol. 44(4), pages 923-952, September.
- Kein, D.B. & Blume, M.E., 1991. "Risk and Returns of low-Grade Bonds: An Update," Weiss Center Working Papers 15-91, Wharton School - Weiss Center for International Financial Research.
- Frank K. Reilly & David J. Wright & James A. Gentry, 2009. "Historic Changes in the High Yield Bond Market," Journal of Applied Corporate Finance, Morgan Stanley, vol. 21(3), pages 65-79, June.
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Cited by:
- Valentina Galvani & Stuart Landon, 2013.
"Riding the yield curve: a spanning analysis,"
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- Galvani, Valentina & Landon, Stuart, 2011. "Riding the Yield Curve: A Spanning Analysis," Working Papers 2011-19, University of Alberta, Department of Economics.
- Peter Grundke & Kamil Pliszka, 2018.
"A macroeconomic reverse stress test,"
Review of Quantitative Finance and Accounting, Springer, vol. 50(4), pages 1093-1130, May.
- Grundke, Peter & Pliszka, Kamil, 2015. "A macroeconomic reverse stress test," Discussion Papers 30/2015, Deutsche Bundesbank.
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More about this item
Keywords
High yield bonds; Credit risk spreads; Default risk; Speculative grade; G01; G11; G12;All these keywords.
JEL classification:
- G01 - Financial Economics - - General - - - Financial Crises
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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