How much credit should be given to credit spreads?

C. Lubochinsky

Financial Stability Review, 2002, issue 1, 85-102

Abstract: This paper sets out to assess the information that can be derived from spreads between yields on government bonds, considered as having a zero default probability, and yields on risky bonds, i.e. whose default probability is not zero. In the first part, we shall give a reminder of the main theoretical approaches used for calculating default risk and its term structure, and, in the second part, we shall examine the difficulties encountered in the empirical analysis of credit spreads. We shall also focus on the problems involved in measuring spreads and the limitations of their information content, given that they may reflect, above and beyond the default risk, the existence of a liquidity risk.

Date: 2002
References: Add references at CitEc
Citations: View citations in EconPapers (2)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bfr:fisrev:2002:1:3

Access Statistics for this article

More articles in Financial Stability Review from Banque de France Banque de France 31 Rue Croix des Petits Champs LABOLOG - 49-1404 75049 PARIS. Contact information at EDIRC.
Bibliographic data for series maintained by Michael brassart ().