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Default Risk, Yield Spreads, and Time to Maturity

Published online by Cambridge University Press:  06 April 2009

Ricardo J. Rodriguez
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Abstract

This paper extends the default model of yield spreads for bonds by showing that, in general, they are a complex function of maturity and, in particular, are not always monotonically increasing, contrary to what one traditional view suggests. Our results may help explain the apparently conflicting empirical results found in the literature.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 23 , Issue 1 , March 1988 , pp. 111 - 117
Copyright
Copyright © School of Business Administration, University of Washington 1988

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References

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