Credit Risk on the Bond Market

Radek Pluhaø

Czech Journal of Economics and Finance (Finance a uver), 2001, vol. 51, issue 3, 147-165

Abstract: Credit risk is a significant feature of debt securities. Large institutional investors employ teams of researchers who scrutinize and measure credit risk. The Czech market possesses specific features that make the exact specification and measurement of credit risk an uneasy task. This article identifies obstacles in the research process that any researcher has to deal with in this regard. The analysis of the credit spread of Czech corporate bonds provides some empirical evidence to theoretical assumptions derived from foreign research. The time structure of credit spread is also examined. A lower relevance of the results of the analysis is discussed afterward.

Keywords: credit spread; time structure; corporate bonds (search for similar items in EconPapers)
JEL-codes: G1 (search for similar items in EconPapers)
Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:fau:fauart:v:51:y:2001:i:3:p:147-165

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