학술논문
REVISITING THE SLOPE OF THE CREDIT CURVE.
Document Type
Article
Author
Source
Subject
*Credit
*Swaps (Finance)
*Default (Finance)
*Credit risk
*Economic models
*Pricing
Algebraic curves
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Language
ISSN
1545-9144
Abstract
The article presents data on credit default swap quotes to examine the shape of the credit spread curve. It argues that the upward-sloping corporate bond spread curves for speculative grade companies are inconsistent with existing theoretical credit risk pricing models. It concludes the absence of discrepancy between the empirical shape of the credit curve and theoretical pricing models.