PT - JOURNAL ARTICLE AU - Jing‐Zhi Huang AU - Xiongfei Zhang TI - The Slope of Credit Spread Curves AID - 10.3905/jfi.2008.708843 DP - 2008 Jun 30 TA - The Journal of Fixed Income PG - 56--71 VI - 18 IP - 1 4099 - https://pm-research.com/content/18/1/56.short 4100 - https://pm-research.com/content/18/1/56.full AB - One way to test a corporate bond pricing model is to examine its predictions for the shape of credit yield spread curves. However, existing empirical studies along this line are known to be problematic because of not controlling properly for the credit quality of bonds (an exception is Helwege and Turner [1999] who study the slope of credit spread curves for high yield coupon bonds). In this article we examine credit spread curves for both zero-coupon and coupon bonds and for both investment grade and high yield bonds. We find that the term structure of credit spreads is usually upward sloping, regardless of credit quality or coupon.TOPICS: Fixed income and structured finance, statistical methods, credit risk management