TY - JOUR T1 - Systematic Credit Risk and Pricing for Fixed Income Instruments JF - The Journal of Fixed Income SP - 42 LP - 60 DO - 10.3905/jfi.2016.26.1.042 VL - 26 IS - 1 AU - Daniel Rösch AU - Harald Scheule Y1 - 2016/06/30 UR - https://pm-research.com/content/26/1/42.abstract N2 - This article analyzes the sensitivity to systematic credit risk and pricing in fixed income instruments and compares corporate bonds and asset securitizations. The article finds cross-sectional variation of systematic credit risk given the same credit rating and a market premium for the systematic risk embedded in yield spreads. Therefore, credit ratings do not provide comprehensive information on the degree of systematic risk, and investors are compensated for such differences in systematic risk after controlling for credit ratings and other risk characteristics.TOPICS: Fixed income and structured finance, credit risk management ER -