What Is a Corporate Bond Spread Made of? Decomposition, Pricing and a Real-Time Backtest in Brazil’s Debenture Market
Decomposing debenture spreads into issuer, market, and contract components shows issuer risk explains 54 percent of variance, enabling out-of-sample pricing within 14 basis points.
Featured in No. 136 on 23 Oct 2026 · 2 days after release
- Released
- 21 Oct 2026
- First featured
- No. 136 · 23 Oct 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 3 of 5
- Identifier
- SSRN 7637398
- Authors
- Gabriel Pires
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).