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The Credit Spread Puzzle · Study

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PreprintThe Credit Spread Puzzle

Jeffery D. Amato2012

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Preprintgreen2012

The Credit Spread Puzzle

Jeffery D. Amato · Eli M. Remolona

98 citations·0/0 files stored·SSRN Electronic Journal

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Credit Risk and Financial Regulations Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1993Common risk factors in the returns on stocks and bonds 2001The Determinants of Credit Spread Changes 2001Explaining the Rate Spread on Corporate Bonds 2005The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications*2003Credit Risk : Pricing, Measurement, and Management 2004Is Default Event Risk Priced in Corporate Bonds?2000Stability of rating transitions 2001Corporate Bond Trading Costs: A Peek Behind the Curtain

Cited by

2011The Dynamic Pricing of Sovereign Risk in Emerging Markets: Fundamentals and Risk Aversion 2012Bond Prices, Default Probabilities and Risk Premiums 2018Is the Credit Spread Puzzle a Myth?2007A ratings‐based approach to measuring sovereign risk 2007Cdo Rating Methodology: Some Thoughts on Model Risk and its Implications 2005Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2007The Pricing of Unexpected Credit Lossespreprint · 9 shared references 2007Macro Factors in the Term Structure of Credit Spreadspreprint · 6 shared references 2008On the Relation Between the Credit Spread Puzzle and the Equity Premium Puzzlearticle · 5 shared references 2011Corporate bond default risk: A 150-year perspectivearticle · 5 shared references 2010Corporate Bond Default Risk: A 150-Year Perspectivereport · 5 shared references 2008A No-Arbitrage Analysis of Macroeconomic Determinants of the Credit Spread Term Structurearticle · 5 shared references

Details

Year2012

Typepreprint

Published2012-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations98

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.2139/ssrn.1968448

openalex_workW1600628744

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2007Interpreting sovereign spreads

2009A Framework for Assessing the Systemic Risk of Major Financial Institutions