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The Credit Spread Puzzle
Financial Market Research, pp.97-107, (2012)
Abstract
Credit spread, the difference between yields on corporate debt subject to default risk and government bonds free of such risk, stems from the default risk of the corporate bonds. In practice, it was found that this spread is much larger than the expected loss from default. The wide gap between spreads and expected default losses is what w...More
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ZH信用利差之谜
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