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Rating and Spread:The French Market before Euro

Author

Listed:
  • Hervé Alexandre

    (Université de Bourgogne IAE Dijon)

  • Maxime Merli

    (Université de Strasbourg)

Abstract

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) 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.

Suggested Citation

  • Hervé Alexandre & Maxime Merli, 2000. "Rating and Spread:The French Market before Euro," Working Papers CREGO 1000304, Université de Bourgogne - CREGO EA7317 Centre de recherches en gestion des organisations, revised Sep 2002.
    • Handle: RePEc:dij:wpfarg:1000304
    as

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    References listed on IDEAS

    as
    1. Jérôme Hubler & Philippe Raimbourg, 1996. "La notation et le marché obligataire primaire en France," Revue d'Économie Financière, Programme National Persée, vol. 37(2), pages 171-187.
    2. Robert A. Jarrow & Stuart M. Turnbull, 2008. "Pricing Derivatives on Financial Securities Subject to Credit Risk," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 17, pages 377-409, World Scientific Publishing Co. Pte. Ltd..
    3. Delbaen, F. & Lorimier, Sabine, 1992. "Estimation of the yield curve and the forward rate curve starting from a finite number of observations," Insurance: Mathematics and Economics, Elsevier, vol. 11(4), pages 259-269, December.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    bonds; spread; rating; default risk;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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