Taxes, Default Risk and Credit Spreads
Presents a general term structure model of defaultable bonds that assesses the potential effects of taxes. Effects of taxes on corporate bond spreads; Impact of tax omission on default rate estimation; Factor essential in evaluating firm performance and understanding whether investors are fully compensated for the risk they bear.
Journal of Fixed Income
WU, Chunchi and Liu, Sheen.
Taxes, Default Risk and Credit Spreads. (2004). Journal of Fixed Income. 1, (2), 71-85. Research Collection Lee Kong Chian School Of Business.
Available at: http://ink.library.smu.edu.sg/lkcsb_research/789