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摘要翻译：
本文分析了息票债券违约风险与到期收益率之间的数学关系。研究表明，债券的到期收益率不仅受违约概率和回收率的影响，还受债券的其他与违约风险无关的契约特征的影响，如债券的期限和票面利率。特别是，对于给定的违约概率和回收率，到期收益率期限结构的水平和斜率都取决于票面利率，因为票面利率越高，到期收益率期限结构越高。此外，到期收益率期限结构是向上或向下倾斜取决于票面利率是否足够高或足够低。类似的定性结果也适用于CDS利差。因此，到期收益率是一个必须谨慎使用的指标，作为违约风险的代理。
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英文标题：
《The Mathematics of the Relationship between the Default Risk and
Yield-to-Maturity of Coupon Bonds》
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作者：
Sara Cecchetti and Antonio Di Cesare
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最新提交年份：
2012
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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英文摘要：
The paper analyzes the mathematics of the relationship between the default risk and yield-to-maturity of a coupon bond. It is shown that the yield-to-maturity is driven not only by the default probability and recovery rate of the bond but also by other contractual characteristics of the bond that are not commonly associated with default risk, such as the maturity and coupon rate of the bond. In particular, for given default probability and recovery rate, both the level and slope of the yield-to-maturity term structure depend on the coupon rate, as the higher the coupon rate the higher the yield-to-maturity term structure. In addition, the yield-to-maturity term structure is upward or downward sloping depending on whether the coupon rate is high or low enough. Similar qualitative results also holds for CDS spreads. Consequently, the yield-to-maturity is an indicator that must be used cautiously as a proxy for default risk.
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PDF链接：
https://arxiv.org/pdf/1203.6723
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