Federal Reserve Bank of San Francisco
FRBSF Economic Letter
Can structural models of default explain the credit spread puzzle?
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.
Cite this item
Robert S. Goldstein, "Can structural models of default explain the credit spread puzzle?"
, Federal Reserve Bank of San Francisco, FRBSF Economic Letter, number 06, 2010.
Keywords: Credit ; Corporate bonds
This item with handle RePEc:fip:fedfel:y:2010:i:feb22:n:2010-06
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