Go to content
UR Home

Systematic Credit Risk and Pricing for Fixed Income Instruments

Rösch, Daniel and Scheule, Harald (2016) Systematic Credit Risk and Pricing for Fixed Income Instruments. Journal of Fixed Income 26, pp. 42-60.

Full text not available from this repository.

at publisher (via DOI)


This article analyzes the sensitivity to systematic credit risk and pricing in fixed income instruments and compares corporate bonds and asset securitizations. The article finds cross-sectional variation of systematic credit risk given the same credit rating and a market premium for the systematic risk embedded in yield spreads. Therefore, credit ratings do not provide comprehensive information ...


Export bibliographical data

Item type:Article
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Statistik und Risikomanagement (Prof. Dr. Rösch)
Identification Number:
Dewey Decimal Classification:300 Social sciences > 310 General statistics
300 Social sciences > 330 Economics
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Yes
Item ID:35391
Owner only: item control page
  1. Homepage UR

University Library

Publication Server


Publishing: oa@ur.de

Dissertations: dissertationen@ur.de

Research data: daten@ur.de

Contact persons