Risk aversion and the yield of corporate debt
建立了一个考虑投资者风险厌恶行为的模型，用于更精确地估计公司债券的隐含违约概率，发现以往风险中性模型高估了违约率，且投资者可能已获得充分的风险补偿。
This paper develops a model to estimate the implied default probability of corporate bonds. The model explicitly considers the risk averse behavior of investors to provide a more precise framework for estimating the implied default probability. A Kalman filter method is used to estimate time-varying risk premium associated with the investor's risk aversion. The results of nonlinear regressions indicate that previous risk-neutrality models consistently overestimate the implied default rates of corporate bonds. The results also suggest that investors may have been adequately compensated for investment in risky bonds.