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EnglishWhile 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. | |
| Digital Object Identifier (DOI): | http://dx.doi.org/10.1504/IJBAAF.2010.032849 | |
| Appare nelle tipologie: | 01 - Article in academic journal / Articolo su rivista scientifica |
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