A Simple Approach to Valuing Risky Fixed and Floating Rate Debt
提出一个同时考虑违约风险和利率风险的简单模型，推导出固定利率和浮动利率债务的定价公式，并利用穆迪公司债券收益率数据发现信用利差与利率负相关，且风险债券的久期受两者相关性影响。
ABSTRACT We develop a simple approach to valuing risky corporate debt that incorporates both default and interest rate risk. We use this approach to derive simple closed‐form valuation expressions for fixed and floating rate debt. The model provides a number of interesting new insights about pricing and hedging corporate debt securities. For example, we find that the correlation between default risk and the interest rate has a significant effect on the properties of the credit spread. Using Moody's corporate bond yield data, we find that credit spreads are negatively related to interest rates and that durations of risky bonds depend on the correlation with interest rates. This empirical evidence is consistent with the implications of the valuation model.