Earticle

초록

영어

Empirically we test the Merton-type model (1974) of credit risk in an emerging market such as the Korean corporate bond market. For that purpose, we assume two alternative firm value processes: Diffusion process for the Merton (1974) model and jump-diffusion process for our extended model in a general equilibrium setting. Our empirical results show that the diffusion model generally underpredicts spreads – which is referred to as “the credit spread under prediction puzzle” in the literature, while our jump-diffusion model somewhat raises the predicted spreads. We assert that jump raises the spreads on two grounds. Firstly, an extremely large (negative) change tends to increase the probability for a firm to default particularly over a short-time horizon. Secondly, jump requires the systematic risk premium for a positively correlated firm particularly when the market turns extremely volatile.

목차

Abstract
 1. Introduction
 2. The Model
 3. Empirical Estimation
  3.1) Testable Equations
  3.2) Data and Preliminary Tests
  3.3) Estimation
 4. Implications and Comparison to Prior Literature
 5. Concluding Remarks
 Appendix
 Reference
 Exhibit
 Table

키워드

저자

• Keehwan Park
• Chang Mo Ahn
• Dohyeon Kim
• Saekwon Kim

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330