Some Empirical Estimates of the Risk Structure of Interest Rates

Some Empirical Estimates of the Risk Structure of Interest Rates

This paper investigates the risk structure of interest rates using pure discount bonds. The most striking feature of our estimates of default-risk premia is the resemblance of their time profile to the theoretical time profile obtained by Merton (1974).

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Veröffentlicht in:The Journal of finance (New York) 1989-12, Vol.44 (5), p.1351-1360
Hauptverfasser: SARIG, ODED, WARGA, ARTHUR
Format: Artikel
Sprache:eng
Schlagworte:
Bonds
Business risks
Business structures
Corporate bonds
Default
Discounts
Financial instruments
Government bonds
Interest rates
Mathematical models
Portfolio management
Portfolio performance
Risk premiums
Risk structure of interest rates
Security prices
Shorter Papers
Stock prices
Theory
Yield
Yield to maturity
Zero coupon bonds
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Zusammenfassung:This paper investigates the risk structure of interest rates using pure discount bonds. The most striking feature of our estimates of default-risk premia is the resemblance of their time profile to the theoretical time profile obtained by Merton (1974).
ISSN:0022-1082
1540-6261
DOI:10.1111/j.1540-6261.1989.tb02657.x