Figure 6
Firm-Level Leverage, Credit Spreads, and Default Probabilities
Leverage and Credit Spreads
Percentage Points
•a
30
25
20
15
10
5
0
0.03
0.10
0.33
1.00
5.00
Leverage at t (logarithmic scale)
Leverage and Expected Probabilities of Default
Annualized Tax-Adjusted Credit Spread at t+1 Expected Year-Ahead Default Frequency at t
20
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