Measuring Corporate Bond Mortality and Performance
提出一种类似精算学中测量人类死亡率的方法来评估债券违约风险，并据此衡量固定收益投资者的表现。研究发现所有评级的债券在十年期内均跑赢无风险国债，且低评级债券在发行后前四年表现最佳。
ABSTRACT This study develops an alternative way to measure default risk and suggests an appropriate method to assess the performance of fixed‐income investors over the entire spectrum of credit‐quality classes. The approach seeks to measure the expected mortality of bonds and the consequent loss rates in a manner similar to the way actuaries assess mortality of human beings. The results show that all bond ratings outperform riskless Treasuries over a ten‐year horizon and that, despite relatively high mortality rates, B‐rated and CCC‐rated securities outperform all other rating categories for the first four years after issuance, with BB‐rated securities outperforming all others thereafter.