Working Paper

Measuring the default risk of bonds using yields to maturity


Abstract: In both the theoretical and empirical literature of finance the relative riskiness of two debt instruments identical in all respects save the likelihood of default on payments of principal and/or interest has generally been measured by the difference between the yields to maturity of the two debt instruments.

Keywords: Bonds; Risk;

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Bibliographic Information

Provider: Federal Reserve Bank of Richmond

Part of Series: Working Paper

Publication Date: 1978

Number: 78-04