The Riskiness of Corporate Bonds
使用Aumann和Serrano提出的风险指数，分析不同评级和时期公司债券组合的风险性变化，发现评级间差异不显著，但风险随时间波动，主要受收益率波动、通胀和债券收益率影响。
We use an index of riskiness recently proposed by Aumann and Serrano ( ) to analyze how the riskiness of diversified portfolios of corporate bonds changes across rating classes and through time and how it compares to the riskiness of other financial instruments. We find that differences in riskiness among portfolios of bonds belonging to different rating classes are seldom statistically significant. We instead find significant time variation in riskiness, driven mainly by return volatility, inflation, and average bond yields. In particular, we find that increases in average bond yields have historically tended to reduce the riskiness of portfolios of corporate bonds by increasing their expected return and by lowering the probability of portfolio losses.