---
title: The Credit Spread at Long Horizons
url: https://www.ml-quant.com/papers/ssrn/7570200/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-10-09
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 7570200
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7570200
featured: 2026-10-09
citations: unknown
topic: Derivatives & Volatility
---


# The Credit Spread at Long Horizons

The study shows that Baa-Aaa spreads at 27-year maturity test pricing kernels better than shorter maturities, with a structural refinancing model matching observed spreads while prior kernels overpredict by 27 to 68 basis points.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7570200
- Identifier: SSRN 7570200
- Released: 2026-10-07
- First featured: Quant Letter No. 134 (2026-10-09): https://www.ml-quant.com/issues/2026-10-09/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility
- Authors: Söhnke M. Bartram, Peter Feldhütter, Dirk Hackbarth, Yerkin Kitapbayev

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