Working Papers

1978

 

October 1974, No. 78-4

Measuring the Default Risk of Bonds Using Yields to Maturity

Thomas A. Lawler

In both the theoretical and empirical literature of finance the relative riskiness of two debt instruments identical in all respects save the likelihood of default on payments of principal and/or interest has generally been measured by the difference between the yields to maturity of the two debt instruments.

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