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Measuring the default risk of bonds using yields to maturity

  • Thomas A. Lawler
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    In both the theoretical and empirical literature of finance the relative riskiness of two debt instruments identical in all respects save the likelihood of default on payments of principal and/or interest has generally been measured by the difference between the yields to maturity of the two debt instruments.

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    File URL: http://www.richmondfed.org/publications/research/working_papers/1978/wp_78-4.cfm
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    Paper provided by Federal Reserve Bank of Richmond in its series Working Paper with number 78-04.

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    Date of creation: 1978
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    Handle: RePEc:fip:fedrwp:78-04
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    1. Benson, Earl D & Rogowski, Robert J, 1978. "The Cyclical Behavior of Risk Spreads on New Municipal Issues," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 10(3), pages 348-62, August.
    2. Yawitz, Jess B., 1977. "An Analytical Model of Interest Rate Differentials and Different Default Recoveries," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(03), pages 481-490, September.
    3. Cook, Timothy Q & Hendershott, Patric H, 1978. "The Impact of Taxes, Risk and Relative Security Supplies on Interest Rate Differentials," Journal of Finance, American Finance Association, vol. 33(4), pages 1173-86, September.
    4. Bierman, Harold & Hass, Jerome E., 1975. "An Analytical Model of Bond Risk Differentials," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 10(05), pages 757-773, December.
    5. Silvers, J B, 1973. "An Alternative to the Yield Spread as a Measure of Risk," Journal of Finance, American Finance Association, vol. 28(4), pages 933-55, September.
    6. Jaffee, Dwight M., 1975. "Cyclical variations in the risk structure of interest rates," Journal of Monetary Economics, Elsevier, vol. 1(3), pages 309-325, July.
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