The Components of Corporate Credit Spreads : Default , Recovery , Tax , Jumps , Liquidity , and Market Factors

@inproceedings{Delianedis2002TheCO,
  title={The Components of Corporate Credit Spreads : Default , Recovery , Tax , Jumps , Liquidity , and Market Factors},
  author={Gordon Delianedis and Robert S. Geske},
  year={2002}
}
*We thank Capital Management Sciences (CMS) for providing the credit spread data. Earlier versions were presented at a CMS Fixed Income Conference in Phoenix, Arizona in September 1999, in Discussion at the April 2000 UCLA Liquidity Conference, at the ICBI Risk Conference in Geneva, Switzerland in December 2000, and at the University of Washington in April, 2001. Comments on this draft are welcome. Please contact Robert Geske at UCLA at 310-825-3670 or at rgeske@anderson.ucla.edu.