Hostname: page-component-669899f699-tpknm Total loading time: 0 Render date: 2025-04-27T16:51:37.294Z Has data issue: false hasContentIssue false
  • English
  • Français

A Note on Bond Risk Differential

Published online by Cambridge University Press:  06 April 2009

Ahmet Tezel
Get access Rights & Permissions [Opens in a new window]

Extract

In a recent paper published in this journal [1], Bierman and Hass (BH) developed a model in which the risk differential that an investor would require to compensate him for the risk of default is stated as a function of the following variables: the probability of default on annual interest payments, (1-P1); the probability of default on the principal payment at the end of the maturity of the bond, (1-P2); the default-free rate, i, and the maturity, N.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 13 , Issue 3 , September 1978 , pp. 573 - 575
Copyright
Copyright © School of Business Administration, University of Washington 1978

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

Article purchase

Temporarily unavailable

References

REFERENCES

[1]Bierman, Harold Jr, and Hass, E. Jerome. “An Analytic Model of Bond Risk Differentials.” Journal of Financial and Quantitative Analysis (12 1975), pp. 757–774.CrossRefGoogle Scholar
[2]Pye, Gordon, and Tezel, Ahmet. “Optimal Foreclosure Policies.” Management Science (10 1974), pp. 141–147.CrossRefGoogle Scholar
[3]Van Home, C. James. “Optimal Initiation of Bankruptcy Proceedings by Debt Holders.” The Journal of Finance (06 1976), pp. 897–910.CrossRefGoogle Scholar