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Rating and Spread:The French Market before Euro

Listed author(s):
  • Hervé Alexandre

    ()

    (Université de Bourgogne IAE Dijon)

  • Maxime Merli

    ()

    (Université de Strasbourg)

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.

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File URL: http://crego.u-bourgogne.fr/images/stories/wp/1000304.pdf
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Paper provided by Université de Bourgogne - CREGO EA7317 Centre de recherches en gestion des organisations in its series Working Papers CREGO with number 1000304.

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Length: 15 pages
Date of creation: Mar 2000
Date of revision: Sep 2002
Handle: RePEc:dij:wpfarg:1000304
Contact details of provider: Postal:
2 Bd Gabriel, BP 26611, 21066 Dijon Cedex, France

Order Information: Postal: Angèle Renaud, CREGO, 2 Bd Gabriel, BP 26611, 21066 Dijon Cedex, France
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  1. 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..
  2. 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.
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