Systematic credit risk and pricing for fixed income instruments

Rösch, D; Scheule, H

Systematic credit risk and pricing for fixed income instruments

Rösch, D Scheule, H

Permalink

Publication Type:: Journal Article
Citation:: Journal of Fixed Income, 2016, 26 (1), pp. 42 - 60
Issue Date:: 2016-06-01

Closed Access

	Filename	Description	Size
	jfi%2E2016%2E26%2E1%2E042 (1).pdf	Published Version	2.56 MB	Adobe PDF	View/Open

Copyright Clearance Process

Recently Added
In Progress
Closed Access

This item is closed access and not available.

Full metadata record

Field	Value	Language
dc.contributor.author	Rösch, D	en_US
dc.contributor.author	Scheule, H https://orcid.org/0000-0001-7283-5654	en_US
dc.date.issued	2016-06-01	en_US
dc.identifier.citation	Journal of Fixed Income, 2016, 26 (1), pp. 42 - 60	en_US
dc.identifier.issn	1059-8596	en_US
dc.identifier.uri	http://hdl.handle.net/10453/98462
dc.description.abstract	© 2015 Institutional Investor LLC. All Rights Reserved. This article analyzes the sensitivity to systematic credit risk and pricing in fixed income instruments and compares corporate bonds and asset securitizations. The article finds crosssectional variation of systematic credit risk given the same credit rating and a market premium for the systematic risk embedded in yield spreads. Therefore, credit ratings do not provide comprehensive information on the degree of systematic risk, and investors are compensated for such differences in systematic risk after controlling for credit ratings and other risk characteristics.	en_US
dc.relation.ispartof	Journal of Fixed Income	en_US
dc.relation.isbasedon	10.3905/jfi.2016.26.1.042	en_US
dc.title	Systematic credit risk and pricing for fixed income instruments	en_US
dc.type	Journal Article
utslib.citation.volume	1	en_US
utslib.citation.volume	26	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	1501 Accounting, Auditing and Accountability	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	closed_access
pubs.issue	1	en_US
pubs.publication-status	Published	en_US
pubs.volume	26	en_US

Abstract:

© 2015 Institutional Investor LLC. All Rights Reserved. This article analyzes the sensitivity to systematic credit risk and pricing in fixed income instruments and compares corporate bonds and asset securitizations. The article finds crosssectional variation of systematic credit risk given the same credit rating and a market premium for the systematic risk embedded in yield spreads. Therefore, credit ratings do not provide comprehensive information on the degree of systematic risk, and investors are compensated for such differences in systematic risk after controlling for credit ratings and other risk characteristics.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/98462