Understanding Aggregate Default Rates of High Yield Bonds
by Jean Helwege of the Federal Reserve Bank of New York, and
Abstract: What explains the wide swings in the default rate on high yield bonds in recent years? Differences in credit quality from year to year account for much of the observed variation in default rates, but economic conditions and the "age" of bonds have also played a role.
Published in: Current Issues in Economics and Finance, Vol.2, No. 6, (May 1996), pp. 1-6.