The Default Premium and Corporate Bond Experience
利用投机级公司债券市场数据，介绍风险中性定价模型，分析债券收益率中的违约溢价与实际违约率的关系，并考察宏观经济信息对违约溢价的影响。结论是低等级债券持有者平均获得了违约损失补偿。
ABSTRACT The development of organized markets for speculative‐grade corporate debt has provided financial researchers with an opportunity to examine the pricing of default risk. By incorporating previous work on the default experience of low‐rated corporate debt, this paper presents an introduction to risk‐neutral models of risky‐bond pricing and uses these to examine the relationship between the default premium embodied in bond yields and actual default rates. The contribution of macroeconomic information to the default premium is also examined. The author finds that holders of low‐grade bonds have, on average, been compensated for losses due to default.