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Credit Risk on the Bond Market

Author

Listed:
  • Radek Pluhaø

Abstract

Credit risk is a significant feature of debt securities. Large institutional investors employ teams of researchers who scrutinize and measure credit risk. The Czech market possesses specific features that make the exact specification and measurement of credit risk an uneasy task. This article identifies obstacles in the research process that any researcher has to deal with in this regard. The analysis of the credit spread of Czech corporate bonds provides some empirical evidence to theoretical assumptions derived from foreign research. The time structure of credit spread is also examined. A lower relevance of the results of the analysis is discussed afterward.

Suggested Citation

  • Radek Pluhaø, 2001. "Credit Risk on the Bond Market," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 51(3), pages 147-165, March.
    • Handle: RePEc:fau:fauart:v:51:y:2001:i:3:p:147-165
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    File URL: http://journal.fsv.cuni.cz/storage/213_002_147_165.pdf
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    More about this item

    Keywords

    credit spread; time structure; corporate bonds;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets

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