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| Author: | Murphy, A. |
| Title: | An empirical analysis of the structure of credit risk premiums in the Eurobond market |
| Journal: | Journal of International Money and Finance
2003 : DEC, VOL. 22:6, p. 865-885 |
| Index terms: | Credit Eurobonds Euro Risk Risk premium |
| Language: | eng |
| Abstract: | Some empicical evidence of a rising term structure of credit risk premiums for high-grade Eurobonds and a declining term structure for low-grade Eurobonds are found in this research. Nevertheless, the results are found to vary somewhat across individual issuers. Evidence is found that credit risk premiums on bonds with the same credit rating vary significantly across currencies. The latter finding holds true even for Eurobonds from the same issuer. |
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