The credit risk premium of Corporate Bond – The Analysis of Taiwan and U.S. bond markets

• Main Authors: Ya-Chun Lee, 李亞純
• Other Authors: Yun-Yung Lin
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/80065059982777678587

碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 95 === In recent years corporate bond issuance and trading volume increased dramatically. Each corporate bond has different pricing due to credit ratings of the issuing corporation. In order to analyze the real market practice, this paper applies Duffee’s (1988) approach to investigate the relationship between credit risk premium and the slope of the Treasury yield curve at given maturity, the 90-day commercial paper, and the 3 month London Inter Bank Offered Rate (LIBOR). The results, in both Taiwan and the U.S. bond markets, display negative correlation between corporate credit risk premium and the slope of the Treasury yield curve at given maturity of the corporate bond, regardless of the corporate credit rating. The results also show negative correlation between the corporate risk premium and 90-day commercial paper yield and the 3-month LIBOR. Both outcomes correspond to Duffee’s (1998) results.