Abstract
This Research Foundation brief explores various dimensions of the high-yield bond market. One contributor decomposes returns and relates risk and associated risk premiums via an econometric fair value model. Another illustrates principles of credit analysis via a case study involving a debt-financed merger. A third analytical piece focuses on forecasting the default rate. Two remaining contributions are primers — one on the corporate bankruptcy process and the other on high-yield bond covenants. The final section presents analyzes high-yield price histories as a function of macroeconomic forces, impulse forces, risk, and technical features of the time series themselves.
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