In a history that now stretches about four decades, the high yield (HY) market has
experienced growth in issuance and out‐standings that is remarkable both for its level …

The overall growth and volatility in the high yield (HY) bond market has provided a viable
source of capital and an interesting investment asset class. The result has been strong …

This paper analyzes the determinants of the recovery ratios and survival times (time until
default) for US corporate bonds. We show that seniority, the type of industry in which the firm …

Since financial myths exploded in the 1980s, the perspective of time creates a unique
opportunity to update and expand the analysis begun in Glenn Yago's 1991 book, Junk …

Corporate bond returns consist of two distinct components: an interest rate component,
which is default-free and anti-cyclical, and a credit spread component, which is default-risky …

This dissertation presents three essays on corporate default, the pricing of risky debt, and
recovery ratios and survival times for corporate bonds. Chapter 1 is the introduction to the …

The global financial crisis of 2008-2009 has highlighted the importance of accurate credit
risk estimation. What had started with the collapse of a few credit institutions in the United …

J~ N G. J~ NSSON is an analyst in high yield credit research at M ed Lynch & Co. in New
York. ridson and Bersh [1994] show that the high-yield spread versus Treasuries, measured …