Credit risk; Expected bond returns; Co-moment risk
Abstract :
[en] Using corporate bond index series over a period of 16 years, we provide a detailed decomposition of a bond’s expected returns. We are able to distinguish between the pre- mium related to systematic default risk and the premium related to the default event. We further analyze the determinants of expected returns and of the identified risk premiums, using variables constructed from credit markets, from stock markets and from moment related risk. The variables successfully explain a large part of the variations in those two premiums, however the signs on the variables are exactly opposed in the explanation of the systematic default risk premium and the default event premium.
Disciplines :
Finance
Author, co-author :
François, Pascal
Heck, Stéphanie ; Université de Liège > HEC-Ecole de gestion : UER > Finance
Hübner, Georges ; Université de Liège > HEC-Ecole de gestion : UER > Gestion financière
Lejeune, Thomas
Language :
English
Title :
The systematic price of credit risk
Publication date :
01 June 2015
Event name :
32nd International Conference of the French Finance Association