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A Note on Bond Risk Differential
Published online by Cambridge University Press: 06 April 2009
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
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