Construct · 1 fields · 1 citations

credit spread puzzle: a standalone construct

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Finance

the finding that structural credit models attribute only a small part of corporate-treasury yield spreads to default risk.

In finance, credit spread puzzle refers to the finding that structural credit models attribute only a small part of corporate-treasury yield spreads to default risk. This meaning comes from Huang (2012) in Review of Asset Pricing Studies.[1]

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Nearby constructs

asset2 fields · 2 citationsjingle · one word, two constructs attribute3 fields · 5 citationsjingle · one word, three constructs credit2 fields · 2 citationsjingle · one word, two constructs

References

Huang, J., & Huang, M. (2012). How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? Review of Asset Pricing Studies, 2(2), 153-202. https://doi.org/10.1093/rapstu/ras011

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