Quantifying Risk in the Corporate Bond Markets
研究发现公司债券的收益率差波动与总回报波动直接相关，且EBITDA利息覆盖率与信用评级对应的市场相对风险高度相关，信用分析师和债券投资者应预测该比率的趋势以识别价值。
Under certain circumstances, yield spread volatility and total return volatility on corporate bonds are directly related. Consequently, risk in the corporate bond market can be measured by examining yield spread volatility as a function of the credit rating. The EBITDA interest coverage ratio is highly correlated to the market's relative risk levels as a function of the credit rating. Accordingly, market prices are directly influenced by changes in this ratio. Because the EBITDA interest coverage ratio incorporates both business risk and financial risk into one measure, credit analysts and bond investors who wish to identify value in the corporate bond market should strive to forecast trends in this dynamic ratio.