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| Floating-Fixed Credit Spreads by Darrell Duffie of Stanford University, and December 20, 1999 Abstract: We study the term structure of yield spreads between floating-rate and fixed-rate notes of the same credit quality and maturity. Floating-fixed spreads are theoretically characterized in some practical cases, and quantified in a simple model, in terms of maturity, credit quality, yield volatility, yield-spread volatility, correlation between changes in yield spreads and default-free yields, and other determining variables. Published in: Financial Analysts Journal, Vol. 57, No. 3, (May/Jun 2001), pp. 76-87. Download paper (265K PDF) 23 pages
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