s***r
发帖数: 1121 | 1 【 以下文字转载自 Quant 讨论区 】
发信人: smxzr (smxzr), 信区: Quant
标 题: 问个弱智题: market default risk premium and corporate bond credit spreads
发信站: BBS 未名空间站 (Wed Mar 2 01:14:04 2011, 美东)
market default risk premium = long term investment bond yield - long term
treasury bond yield
Then what is the relation between this market default risk premium with
corporate bond credit spreads? I thought it is POSITIVE. Am I correct?
thansk. |
n*****t
发帖数: 1015 | 2 不做这个的人一般很难有intuition，你去读读以前的literature?看看那些人怎么
argue的
spreads
【在 s***r 的大作中提到】
: 【 以下文字转载自 Quant 讨论区 】
: 发信人: smxzr (smxzr), 信区: Quant
: 标 题: 问个弱智题: market default risk premium and corporate bond credit spreads
: 发信站: BBS 未名空间站 (Wed Mar 2 01:14:04 2011, 美东)
: market default risk premium = long term investment bond yield - long term
: treasury bond yield
: Then what is the relation between this market default risk premium with
: corporate bond credit spreads? I thought it is POSITIVE. Am I correct?
: thansk.
|
U*****e
发帖数: 2882 | 3 To my understanding, there is either "default risk premium" or "market risk
premium". "market default risk premium" could be a mistake.
Credit spreads are used in practice. It is the difference in yield between
different securities, due to different credit quality. It is the same as
default risk premium if the reference rate is the treasury bond yield.
Otherwise it is different.
spreads
【在 s***r 的大作中提到】
: 【 以下文字转载自 Quant 讨论区 】
: 发信人: smxzr (smxzr), 信区: Quant
: 标 题: 问个弱智题: market default risk premium and corporate bond credit spreads
: 发信站: BBS 未名空间站 (Wed Mar 2 01:14:04 2011, 美东)
: market default risk premium = long term investment bond yield - long term
: treasury bond yield
: Then what is the relation between this market default risk premium with
: corporate bond credit spreads? I thought it is POSITIVE. Am I correct?
: thansk.
|
s*****w
发帖数: 2065 | 4 If what you said is true, the relation sounds like CAPM.
And whether the relation is positive or negative depends on beta.
risk
【在 U*****e 的大作中提到】
: To my understanding, there is either "default risk premium" or "market risk
: premium". "market default risk premium" could be a mistake.
: Credit spreads are used in practice. It is the difference in yield between
: different securities, due to different credit quality. It is the same as
: default risk premium if the reference rate is the treasury bond yield.
: Otherwise it is different.
:
: spreads
|
U*****e
发帖数: 2882 | 5 ......
I am not sure what you mean. CAPM is about market risk premium, it says
nothing about default risk premium.
【在 s*****w 的大作中提到】
: If what you said is true, the relation sounds like CAPM.
: And whether the relation is positive or negative depends on beta.
:
: risk
|
s*****w
发帖数: 2065 | 6 Sorry, I guess I misunderstood.
I thought you meant it should be market risk premium instead of default risk
premium.
【在 U*****e 的大作中提到】
: ......
: I am not sure what you mean. CAPM is about market risk premium, it says
: nothing about default risk premium.
|
s*****w
发帖数: 2065 | 7 Your definition of "market default risk premium" seems to be similar to Chen
, Roll and Ross (1986)'s UPR (they called it unanticipated change in ri
sk premium) in their factor model.
If you think of the corporate bond credit spreads as the risk premium of the
corporate bond and you believe this factor model works, then you can check
their factor loading on UPR. If I remember correctly, it was positive in the
paper.
spreads
【在 s***r 的大作中提到】
: 【 以下文字转载自 Quant 讨论区 】
: 发信人: smxzr (smxzr), 信区: Quant
: 标 题: 问个弱智题: market default risk premium and corporate bond credit spreads
: 发信站: BBS 未名空间站 (Wed Mar 2 01:14:04 2011, 美东)
: market default risk premium = long term investment bond yield - long term
: treasury bond yield
: Then what is the relation between this market default risk premium with
: corporate bond credit spreads? I thought it is POSITIVE. Am I correct?
: thansk.
|
a**n
发帖数: 3801 | 8 你觉得公司破产和你说的investment bond赖帐是不是正相关的？
spreads
【在 s***r 的大作中提到】
: 【 以下文字转载自 Quant 讨论区 】
: 发信人: smxzr (smxzr), 信区: Quant
: 标 题: 问个弱智题: market default risk premium and corporate bond credit spreads
: 发信站: BBS 未名空间站 (Wed Mar 2 01:14:04 2011, 美东)
: market default risk premium = long term investment bond yield - long term
: treasury bond yield
: Then what is the relation between this market default risk premium with
: corporate bond credit spreads? I thought it is POSITIVE. Am I correct?
: thansk.
|
