The Resiliency of the High-Yield Bond Market: The LTV Default
通过对比LTV破产前后新发行高收益债券的隐含违约率变化，发现市场对高风险债券的违约认知显著上升但仅持续六个月，表明市场对重大违约具有韧性。
This paper investigates the resiliency of the new-issue high-yield bond market by examining the changes in implied default rates of such bonds before and after the largest high-yield bond default, i.e., the LTV bankruptcy. Specifically, the paper compares implied default probabilities of high-yield bonds during the post-LTV period calculated from actual new-issue yields with instrumental default probabilities calculated on the assumption that the default had not occurred. A comparison of these probabilities reveals that the market's perception of default on the high risk segment of the bond market increased significantly after the LTV bankruptcy. However, the effect was transitory, lasting only six months. Thus, the market was resilient to a major default.