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Om dekomponering av kredittrisikoen i det norske obligasjonsmarkedet

Artikkel forfattet av Jørgen Krog Sæbø publisert i Journal of Fixed Income: "The Credit Spread Puzzle Does Exist – But Is It Really a Puzzle?"

Jørgen Krog Sæbø er direktør for Folketrygdfondets treasury-avdeling.

Journal of Fixed Income er et tidsskrift som blant annet henvender seg til investorer, porteføljeforvaltere, analytikere og akademikere.

I tidsskriftets sommerutgave 2015 er artikkelen presentert med denne innledningen:

"Much academic research shows that the spreads at which corporate bonds trade above a similar default-free asset are too large compared with what is predicted by a standard structural model. This finding has given rise to the so-called Credit Spread Puzzle. Recent research points to a few statistical biases in the previous findings and conclude that the puzzle is not as strong as previous papers have indicated. In this article, the author controls for these biases and shows that the puzzle is highly present in a sample from the Norwegian fixed-income market in the 2008–2013 period. On average, only 28% of the spreads are explained by the structural model. The question is not whether the puzzle exists but rather, is it correct to call this a puzzle?"

Les hele artikkelen.