What kinds of risk premiums do we see today for bonds of different ratings?f

A good approximation for the risk-neutral default intensity per year for a bond is

(y-r)(1-R)

where y is the bondâ€™s yield, r is the yield on a risk-free bond promising the same cash

flows as the bond, and R is the recovery rate. In applying equation (1) we used the Merrill

Lynch bond indices. These indices report the yield on U.S. dollar denominated corporate

bonds with different credit ratings at the end of each month.

http://www-2.rotman.utoronto.ca/~hull/downloadablepublications/CreditSpreads.pdf

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