论文信息 - Some Empirical Estimates of the Risk Structure of Interest Rates

Some Empirical Estimates of the Risk Structure of Interest Rates

This paper investigates the risk structure of interest rates using pure discount bonds. The most striking feature of the authors' estimates of default-risk premia is the resemblance of their time profile to the theoretical time profile obtained by R. C. Merton (1974). Copyright 1989 by American Finance Association.

Arthur D. Warga | O. Sarig | Arthur Warga | Oded Sarig

[1] Avery B. Cohan,et al. Yields on Corporate Debt Directly Placed. , 1968 .

[2] Richard W. McEnally,et al. Factors Affecting Seasoned Corporate Bond Prices , 1981, Journal of Financial and Quantitative Analysis.

[3] M. J. P. Selby,et al. The Pricing of Corporate Debt: A Further Note , 1983 .

[4] J. Vu. An empirical investigation of calls of non-convertible bonds , 1986 .

[5] Arthur D. Warga,et al. Bond Price Data and Bond Market Liquidity , 1989, Journal of Financial and Quantitative Analysis.

[6] L. Fisher. Determinants of Risk Premiums on Corporate Bonds , 1959, Journal of Political Economy.

[7] Eduardo S. Schwartz,et al. Convertible Bonds: Valuation and Optimal Strategies for Call and Conversion , 1977 .

[8] Ramon E. Johnson. TERM STRUCTURES OF CORPORATE BOND YIELDS AS A FUNCTION OF RISK OF DEFAULT , 1967 .

[9] R. C. Merton,et al. On the Pricing of Corporate Debt: The Risk Structure of Interest Rates , 1974, World Scientific Reference on Contingent Claims Analysis in Corporate Finance.

[10] F. Black,et al. VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS , 1976 .

[11] F. Black,et al. The Pricing of Options and Corporate Liabilities , 1973, Journal of Political Economy.

[12] The Pricing of Corporate Debt: A Note , 1981 .

[13] J. Silvers. AN ALTERNATIVE TO THE YIELD SPREAD AS A MEASURE OF RISK , 1973 .