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An analysis of credit risk spreads for high yield bonds

Author

Listed:
  • Frank Reilly
  • David Wright
  • James Gentry

Abstract

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Suggested Citation

  • Frank Reilly & David Wright & James Gentry, 2010. "An analysis of credit risk spreads for high yield bonds," Review of Quantitative Finance and Accounting, Springer, vol. 35(2), pages 179-205, August.
    • Handle: RePEc:kap:rqfnac:v:35:y:2010:i:2:p:179-205
    DOI: 10.1007/s11156-009-0162-7
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    References listed on IDEAS

    as
    1. Kein, D.B. & Blume, M.E., 1991. "Risk and Returns of low-Grade Bonds: An Update," Weiss Center Working Papers 15-91, Wharton School - Weiss Center for International Financial Research.
    2. repec:bla:jfinan:v:44:y:1989:i:4:p:923-52 is not listed on IDEAS
    3. Frank K. Reilly & David J. Wright & James A. Gentry, 2009. "Historic Changes in the High Yield Bond Market," Journal of Applied Corporate Finance, Morgan Stanley, vol. 21(3), pages 65-79, June.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Valentina Galvani & Stuart Landon, 2013. "Riding the yield curve: a spanning analysis," Review of Quantitative Finance and Accounting, Springer, vol. 40(1), pages 135-154, January.
    2. Peter Grundke & Kamil Pliszka, 2018. "A macroeconomic reverse stress test," Review of Quantitative Finance and Accounting, Springer, vol. 50(4), pages 1093-1130, May.

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    More about this item

    Keywords

    High yield bonds; Credit risk spreads; Default risk; Speculative grade; G01; G11; G12;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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