Jun Yang - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T17:41:04+00:00Systematic Risk, Debt Maturity and the Term Structure of Credit Spreads
https://www.bankofcanada.ca/2012/08/working-paper-2012-27/
We build a dynamic capital structure model to study the link between systematic risk exposure and debt maturity, as well as their joint impact on the term structure of credit spreads. Our model allows for time variation and lumpiness in the maturity structure. Relative to short-term debt, long-term debt is less prone to rollover risks, but its illiquidity raises the costs of financing.2012-08-27T11:03:38+00:00enSystematic Risk, Debt Maturity and the Term Structure of Credit Spreads2012-08-27Asset pricingDebt managementWorking Paper 2012-27https://www.bankofcanada.ca/wp-content/uploads/2012/08/wp2012-27.pdfSystematic Risk, Debt Maturity and the Term Structure of Credit SpreadsHui ChenYu XuJun YangAugust 2012GG3G32G33