Time‐Varying Asset Volatility and the Credit Spread Puzzle
研究发现现有结构信用风险模型低估信用利差，通过引入定价的随机资产风险并加入跳跃项，模型能拟合中长期利差，并识别出显著的资产方差风险溢价。
ABSTRACT Most extant structural credit risk models underestimate credit spreads—a shortcoming known as the credit spread puzzle. We consider a model with priced stochastic asset risk that is able to fit medium‐ to long‐term spreads. The model, augmented by jumps to help explain short‐term spreads, is estimated on firm‐level data and identifies significant asset variance risk premia. An important feature of the model is the significant time variation in risk premia induced by the uncertainty about asset risk. Various extensions are considered, among them optimal leverage and endogenous default.