Spreads de crédit et taux d'intérêt

Jean-Claude Gabillon

Finance, 2007, vol. 28, issue 2, 121-160

Abstract: In standard risky debt models the credit spreads are, apparently, inversely related to the level of the interest rates. An increase in r tends to reduce the probability of a default because of the effect on the upward drift of the risk-neutral process for the firm value V. We show, with a cash flow approach in a one factor model and in a two factors model, that this analysis is incomplete and that, in structural models, credit spreads widen as interest rate increase, at the opposite of the empirical evidence.

Date: 2007
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