| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w15848 |
| 来源ID | Working Paper 15848 |
| Corporate Bond Default Risk: A 150-Year Perspective | |
| Kay Giesecke; Francis A. Longstaff; Stephen Schaefer; Ilya Strebulaev | |
| 发表日期 | 2010-03-25 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | We study corporate bond default rates using an extensive new data set spanning the 1866-2008 period. We find that the corporate bond market has repeatedly suffered clustered default events much worse than those experienced during the Great Depression. For example, during the railroad crisis of 1873-1875, total defaults amounted to 36 percent of the par value of the entire corporate bond market. We examine whether corporate default rates are best forecast by structural, reduced-form, or macroeconomic credit models and find that variables suggested by structural models outperform the others. Default events are only weakly correlated with business downturns. We find that over the long term, credit spreads are roughly twice as large as default losses, resulting in an average credit risk premium of about 80 basis points. We also find that credit spreads do not adjust in response to realized default rates. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Corporate Finance |
| URL | https://www.nber.org/papers/w15848 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/573521 |
| 推荐引用方式 GB/T 7714 | Kay Giesecke,Francis A. Longstaff,Stephen Schaefer,et al. Corporate Bond Default Risk: A 150-Year Perspective. 2010. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w15848.pdf（291KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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