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09-12-2011 · Visión

Ibbotson's default premium: risky data

Ibbotson’s “Stocks, Bonds, Bills and Inflation” data set is widely used because it provides monthly US financial data series going back to as early as 1926. In this data set, the “default premium” is calculated as the difference between the total returns on long-term corporate bonds and long-term government bonds. This excess return is used in empirical research to represent the compensation for default risk exposure.

    Autores/Autoras

  • Patrick Houweling - Head of Quant Fixed Income

    Patrick Houweling

    Head of Quant Fixed Income