As bond ratings drop, what happens to the standard deviation of yields to maturity? Pivot Table Average
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Pivot Table Average of Credit Spread Years to Maturity Rating AAA AA A ВВВ ВВ B CCC CC Grand Total V 3.000 4.000 5.000 6.000 0.008296154 0.007601818 0.011565 0.013528182 0.012418333 7.000 Grand Total 0.01019 0.010310588 0.021664 0.01814509 0.01049 0.014865645 0.0152975 0.01944 0.020461622 0.020050909 0.021979667 0.020026667 0.018989186 0.020972941 0.021506723 0.020802111 0.021336957 0.0199875 0.020593115 0.026459732 0.026777439 0.031787944 0.03069843 0.028025176 0.029100693 0.026005714 0.028875322 0.053530952 0.053429556 0.054054 0.052817 0.055784286 0.049188519 0.04502 0.05295761 0.06062 0.072980244 0.080037059 0.077369545 0.075367692 0.070026809 0.067518056 0.062456923 0.1128084 0.114232083 0.112488333 0.1230925 0.11694 0.114476 0.188656667 0.188656667 0.03828615 0.039674726 0.040025559 0.03542658 0.031392792 0.031461914 0.026874054 0.036183364 1.000 2.000 Pivot Table Average of Credit Spread Years to Maturity Rating AAA AA A ВВВ ВВ B CCC CC Grand Total V 3.000 4.000 5.000 6.000 0.008296154 0.007601818 0.011565 0.013528182 0.012418333 7.000 Grand Total 0.01019 0.010310588 0.021664 0.01814509 0.01049 0.014865645 0.0152975 0.01944 0.020461622 0.020050909 0.021979667 0.020026667 0.018989186 0.020972941 0.021506723 0.020802111 0.021336957 0.0199875 0.020593115 0.026459732 0.026777439 0.031787944 0.03069843 0.028025176 0.029100693 0.026005714 0.028875322 0.053530952 0.053429556 0.054054 0.052817 0.055784286 0.049188519 0.04502 0.05295761 0.06062 0.072980244 0.080037059 0.077369545 0.075367692 0.070026809 0.067518056 0.062456923 0.1128084 0.114232083 0.112488333 0.1230925 0.11694 0.114476 0.188656667 0.188656667 0.03828615 0.039674726 0.040025559 0.03542658 0.031392792 0.031461914 0.026874054 0.036183364 1.000 2.000
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Yes the standard deviation of yields to maturity increases as bond ratings drop as shown in the pivo... View the full answer
Related Book For
Statistics For Business And Economics
ISBN: 9780321826237
12th Edition
Authors: James T. McClave, P. George Benson, Terry T Sincich
Posted Date:
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