Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/56318 
Erscheinungsjahr: 
2001
Schriftenreihe/Nr.: 
SSE/EFI Working Paper Series in Economics and Finance No. 445
Verlag: 
Stockholm School of Economics, The Economic Research Institute (EFI), Stockholm
Zusammenfassung: 
We develop a structural bond pricing approach and implement it on a large panel of US industrial bonds using an efficient maximum likelihood methodology. We evaluate the model's ability to predict yield spread levels and changes out-of-sample. Errors are smaller and distinctly less variable than those found in previous implementations of structural as well as reduced form models. Furthermore, our analysis provide evidence that bond yield spreads incorporate a substantial liquidity component on top of the default spread structural models are designed to capture.
Schlagwörter: 
corporate bonds
credit risk
yield spreads
default
structural bond pricing models
JEL: 
G12
G13
Dokumentart: 
Working Paper

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