Journal Article
Can structural models of default explain the credit spread puzzle?
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.
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File(s): File format is text/html https://www.frbsf.org/research-and-insights/publications/economic-letter/2010/02/structural-models-default-credit-spread/
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File(s): File format is application/pdf https://fraser.stlouisfed.org/files/docs/historical/frbsf/frbsf_let/frbsf_let_20100222.pdf
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Bibliographic Information
Provider: Federal Reserve Bank of San Francisco
Part of Series: FRBSF Economic Letter
Publication Date: 2010
Order Number: 06