TY - JOUR T1 - The Slope of Credit Spread Curves JF - The Journal of Fixed Income SP - 56 LP - 71 DO - 10.3905/jfi.2008.708843 VL - 18 IS - 1 AU - Jing‐Zhi Huang AU - Xiongfei Zhang Y1 - 2008/06/30 UR - https://pm-research.com/content/18/1/56.abstract N2 - One way to test a corporate bond pricing model is to examine its predictions for the shape of credit yield spread curves. However, existing empirical studies along this line are known to be problematic because of not controlling properly for the credit quality of bonds (an exception is Helwege and Turner [1999] who study the slope of credit spread curves for high yield coupon bonds). In this article we examine credit spread curves for both zero-coupon and coupon bonds and for both investment grade and high yield bonds. We find that the term structure of credit spreads is usually upward sloping, regardless of credit quality or coupon.TOPICS: Fixed income and structured finance, statistical methods, credit risk management ER -