While extensive research on the relationship between credit risk and spreads has been produced for bonds and loans separately, few studies have analysed them jointly. We derive a simple structural model where a stochastic default barrier accounts for informational noise, and differences between bond and loan spreads are explained through the different screening ability of bankers and bond-holders. We then test the model on a sample of 7,926 Eurobonds and 5,469 syndicated loans. Empirical results confirm the key finding of the model: while spreads increase as ratings worsen for both bonds and loans, the former show a steeper spread/rating relationship. Copyright © 2010 Inderscience Enterprises Ltd.
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Titolo: | What is different about loans? An analysis of the risk structure of credit spreads |
Data di pubblicazione: | 2010 |
Autori: | |
Autori: | Resti, Andrea Cesare; Sironi, Andrea |
Rivista: | INTERNATIONAL JOURNAL OF BANKING, ACCOUNTING AND FINANCE |
Abstract: | While extensive research on the relationship between credit risk and spreads has been produced for bonds and loans separately, few studies have analysed them jointly. We derive a simple structural model where a stochastic default barrier accounts for informational noise, and differences between bond and loan spreads are explained through the different screening ability of bankers and bond-holders. We then test the model on a sample of 7,926 Eurobonds and 5,469 syndicated loans. Empirical results confirm the key finding of the model: while spreads increase as ratings worsen for both bonds and loans, the former show a steeper spread/rating relationship. Copyright © 2010 Inderscience Enterprises Ltd. |
Codice identificativo Scopus: | 2-s2.0-84858973024 |
Appare nelle tipologie: | 01 - Article in academic journal / Articolo su rivista Scientifica |