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Corporate yield spreads : default risk or liquidity ? new evidence from the credit default swap market

Name: Corporate yield spreads : default risk or liquidity ? new evidence from the credit default swap market
ISBN: 00221082

Longstaff, Francis A - ; Mithal, Sanjay - ; Neis, Eric - ;

We use the information in credit default swaps to obtain direct measures of the size of the default and nondefault components in corporate spreads. we find that the majority of the corporate spread is due to default risk. This result holds for all rating categories and is robust to the definition of the riskless curve..Printed Journal

Ketersediaan

Call Number	Location	Available
	PSB lt.dasar - Pascasarjana	1

Penerbit	: The American Finance Association
Edisi	-
Subjek	-
ISBN/ISSN	00221082
Klasifikasi	-
Deskripsi Fisik	-
Info Detail Spesifik	-
Other Version/Related	Tidak tersedia versi lain
Lampiran Berkas	Tidak Ada Data