Article ID Journal Published Year Pages File Type
5089206 Journal of Banking & Finance 2013 14 Pages PDF
Abstract
► Firm-level variance risk premium has prominent predictive power for credit spreads. ► Such predictability strengthens significantly with model-free implied variance. ► Firm-level variance risk premium contains a clean systematic component. ► A structural model with stochastic volatility can reproduce the predictive pattern.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Credit default swap spreads and variance risk premia
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