The Impact of Default Risk of Corporate Bonds on Bond Spreads and Bond Duration
Date Issued
2013
Date
2013
Author(s)
Wu, Ching-Ting
Abstract
Structural models for valuing straight corporate bonds show that default risk have important implications for the yield spread and the bond duration. Based on Jacoby and Shiller（2010）, this study uses data from Taiwan bond market to test the hypotheses.
First, we classify bonds according to their ratings. Using data from GreTai Securities Market, we estimate default spread as the difference between the zero-coupon yield of a straight corporate bond and the zero-coupon yield of a government bond with the same term to maturity. Then, we use the relationship between changes in government zero-coupon yield and default spreads to examine the impact of the risk-free rate to the default spread. Furthermore, we use the relationship between changes in government zero-coupon yield and corporate zero-coupon yield to examine the relationship between the risk-adjusted duration and the Macaulay duration. The results are consistent with that of Acharya and Carpenter（2002）.
Subjects
債券結構模型
債券違約風險
債券利差
債券存續期間
Type
thesis
File(s)![Thumbnail Image]()
Loading...
Name
ntu-102-R99724023-1.pdf
Size
23.32 KB
Format
Adobe PDF
Checksum
(MD5):e1e74ff832b0261b3ccd5e7d339e3243