search query: @author Wu, C. / total: 21
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| Author: | Wu, C. Yu, C. |
| Title: | Risk aversion and the yield of corporate debt |
| Journal: | Journal of Banking and Finance
1996 : MAR, VOL. 20:2, p. 267-282 |
| Index terms: | RISK AVERSION BOND YIELDS DEBT |
| Language: | eng |
| Abstract: | This paper develops a model to estimate the implied default probability of corporate bonds. The model explicitly considers the risk averse behavior of investors to provide a more precise framework for estimating the implied default probability. a Kalman filter method is used to estimate time-varying risk premium associated with the investor's risk aversion. the results of nonlinear regressions indicate that previous risk-neutrality models consistently overestimate the implied default rates of corporate bonds. |
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