Option-Based Credit Spreads
收藏NBER2014-12-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w20776
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资源简介：
We present a novel empirical benchmark for analyzing credit risk using pseudo firms that purchase traded assets financed with equity and zero-coupon bonds. By no-arbitrage, pseudo bonds are equivalent to Treasuries minus put options on pseudo-firm assets. Empirically, like corporate spreads, pseudo
提供机构：
美国国家经济研究局
创建时间：
2014-12-01
