In particular, the 12-hour meeting between Wang Yi, China’s minister of foreign affairs, and Jake Sullivan, the U.S. Although little is known to the public about the specific substance of these exchanges, both sides stated that the exchanges were candid and constructive. We obtain such results by calibrating each of the models to be consistent with data on the historical default loss experience and equity risk premia, and demonstrating that different models predict similar credit risk premia under empirically reasonable parameter choices.Recently, senior officials from the United States have made a flurry of visits to China and met with Chinese counterparts, including the topmost leader Xi Jinping, for lengthy and wide-ranging exchanges. This conclusion is shown to be robust across a wide class of structural models. We obtain such results by calibrating each of the models to be consistent with data on the historical default loss experience and equity risk premia, and demonstrating that different models predict similar credit risk premia under empirically reasonable parameter choices.ĪB - We show that credit risk accounts for only a small fraction of yield spreads for investment-grade bonds of all maturities, with the fraction lower for bonds of shorter maturities, and that it accounts for a much higher fraction of yield spreads for high-yield bonds. N2 - We show that credit risk accounts for only a small fraction of yield spreads for investment-grade bonds of all maturities, with the fraction lower for bonds of shorter maturities, and that it accounts for a much higher fraction of yield spreads for high-yield bonds. Send correspondence to Jing-Zhi Huang, Smeal College of Business, Penn State University, University Park, PA 16802 telephone: (814) 863-3566. Huang acknowledges a Smeal College Research Grant for partial support. Conference (Venice), the 2002 Event Risk Conference (New York), NBER Asset Pricing Fall 2002 Conference (Boston), the 2003 Western Finance Association Conference (Los Cabos, Mexico), the 14th Annual Financial Economics and Accounting Conference (Indiana University), Barclays Global Investors, Moody’s KMV, and Salomon Smith Barney for valuable comments and suggestions. We are very grateful to Wayne Ferson (executive editor) and two anonymous referees for extensive and detailed comments and suggestions that helped improve the article substantially, and also to Ed Altman, Cliff Ball (Western Finance Association Conference discussant), Nick Barberis, Pierre Collin-Dufresne (Texas Finance Festival discussant), Qiang Dai, Greg Duffee, Darrell Duffie, Phil Dybvig (Financial Economics and Accounting Conference discussant), Heber Farnsworth, Amit Goyal, Campbell Harvey, Jean Helwege, Alfredo Ibáñez, Jun Pan (National Bureau on Economics Research Conference discussant), Stephen Schaefer, Ken Singleton, Suresh Sundaresan, Sheridan Titman, Hao Zhou, and seminar participants at Baruch College, Berkeley-Stanford joint seminar, CKGSB, Columbia University, Harvard Department of Economics, Massachusetts Institute of Technology, Nanyang Tech, New York Federal Reserve, New York University, Peking University, Renmin University, Rutgers University, Stanford University, Temple University, Tsinghua University, the 2000 UCLA Liquidity Conference, the 11th Annual Derivatives Securities and Risk Management Conference (New York), the 2002 Texas Finance Festival, the 2002 C.R.E.D.I.T. T1 - How much of the corporate-treasury yield spread is due to credit risk? Note = "Funding Information: We are very grateful to Wayne Ferson (executive editor) and two anonymous referees for extensive and detailed comments and suggestions that helped improve the article substantially, and also to Ed Altman, Cliff Ball (Western Finance Association Conference discussant), Nick Barberis, Pierre Collin-Dufresne (Texas Finance Festival discussant), Qiang Dai, Greg Duffee, Darrell Duffie, Phil Dybvig (Financial Economics and Accounting Conference discussant), Heber Farnsworth, Amit Goyal, Campbell Harvey, Jean Helwege, Alfredo Ib 2012 The Author.",
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