An empirical analysis of the structure of credit risk premiums in the Eurobond market

This research finds some empirical evidence of a rising term structure of credit risk premiums for high-grade Eurobonds and a declining term structure for lowgrade Eurobonds. However, the results are discovered to vary somewhat across individual issuers. Perhaps most importantly, evidence is found that credit risk premiums on bonds with the same credit rating vary significantly across currencies. The latter finding holds true even for Eurobonds from the same issuer.