Bond Prices, Default Probabilities and Risk Premiums

by John Hull of the University of Toronto,
Mirela Predescu of the University of Toronto, and
Alan White of the University of Toronto

September 2004

Abstract: This paper estimates the average risk-neutral and real-world default probabilities for companies with different credit ratings. It calculates the risk premiums earned by bond holders and discusses possible reasons for the risk premiums.

Published in: Journal of Credit Risk, Vol. 1, No. 2, (Spring 2005), pp. 53-60.

Download paper (136K PDF) 11 pages

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