the web's biggest credit risk modeling resource.

Credit Jobs

Home Glossary Links FAQ / About Site Guide Search

Submit Your Paper

In Rememberance: World Trade Center (WTC)

Export citation to:
- Text (plain)
- BibTeX

Perraudin, William and Alex Taylor, "On the Consistency of Ratings and Bond Market Yields", Journal of Banking & Finance, Vol. 28, No. 11, (November 2004), pp. 2769-2788.

Abstract: By analyzing errors in cubic spline estimates of bond market yields for bonds with particular ratings, we study the consistency of ratings and bond market pricing. We show that for significant periods, a quarter of some categories of high credit quality bonds are rated in a manner which is inconsistent with their pricing. The inconsistencies are highly persistent, with roughly half of mis-rated bonds remaining mis-rated six months later.

JEL Classification: C25, G21, G33.

Keywords: Credit Spreads, Risky Debt Yields, Term Structure, Cubic Splines.

Books Referenced in this paper:  (what is this?)