| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP10318
|
| DP10318 Option-Based Credit Spreads |
| Pietro Veronesi
|
| 发表日期 | 2014-12-21
|
| 出版年 | 2014
|
| 语种 | 英语
|
| 摘要 | We present a novel empirical benchmark for analyzing credit risk using "pseudo firms" that purchase traded assets financed with equity and zero-coupon bonds. By no-arbitrage, the bonds are equivalent to Treasuries minus put options on pseudo-firm assets. Empirically, like corporate spreads, pseudo-bond spreads are large, countercyclical, and predict lower economic growth. Using this framework, we find that bond market illiquidity, investors? over-estimation of default risks, corporate frictions, and constraints on aggregate credit supply do not seem to explain excessive observed credit spreads, but, instead, a risk premium for tail and idiosyncratic asset risks is the primary determinant of corporate spreads. |
| 主题 | Financial Economics
|
| 关键词 | Credit spreads
Default
Merton model
Options
|
| URL | https://cepr.org/publications/dp10318
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/539150
|
推荐引用方式
GB/T 7714 |
Pietro Veronesi. DP10318 Option-Based Credit Spreads. 2014.
|
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