Can structural models of default explain the credit spread puzzle?

Robert S. Goldstein ()
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Robert S. Goldstein: https://carlsonschool.umn.edu/faculty/robert-goldstein

FRBSF Economic Letter, 2010, issue feb22

Abstract: This Economic Letter discusses why standard versions of structural models of default tend to underpredict the level of risk premiums and variations in those premiums over time. Drawing on recent research, the Letter suggests modifications to these standard models in order to better explain historical levels and time variations of corporate bond spreads.

Keywords: Credit; Corporate bonds (search for similar items in EconPapers)
Date: 2010
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https://www.frbsf.org/research-and-insights/public ... fault-credit-spread/ (text/html)
https://www.frbsf.org/wp-content/uploads/el2010-06.pdf (application/pdf)
https://fraser.stlouisfed.org/files/docs/historica ... bsf_let_20100222.pdf (application/pdf)
https://fraser.stlouisfed.org/title/economic-lette ... spread-puzzle-633461

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