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• W2040664037 abstract "Poor liquidity of corporate bonds in emerging markets deters reliable estimation of credit spreads. As an alternative, credit spreads based on poll data are introduced in India. These spreads are used for pricing new credit instruments and for valuation of bond portfolios. We examine the credit risk characteristics of these spreads based on the structural models of bond pricing. We find that the spreads are largely deter-mined by the proxies of default probability and recovery rate. Also, the relation between spreads and important credit risk variables is as predicted by the models. These results support the use of poll-based credit spreads. Introducing poll-based spreads in less liquid corporate bond markets is likely to offer a reliable basis for pricing credit instruments and derivatives." @default.
• W2040664037 created "2016-06-24" @default.
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• W2040664037 date "2010-04-01" @default.
• W2040664037 modified "2023-09-26" @default.
• W2040664037 title "Default Risk Characteristics of Poll-Based Bond Spreads" @default.
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• W2040664037 doi "https://doi.org/10.1177/097265271000900103" @default.
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