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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.

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Abstract

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 ...

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Item type:Article
Date:2016
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Statistik und Risikomanagement (Prof. Dr. Rösch)
Identification Number:
ValueType
10.3905/jfi.2016.26.1.042DOI
Dewey Decimal Classification:300 Social sciences > 310 General statistics
300 Social sciences > 330 Economics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Yes
Item ID:35391
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