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Cryptocurrency pseudo bonds
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DOI：10.1080/13504851.2026.2654787.png)
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Abstract
En 中文
A growing number of firms are acquiring large positions in Bitcoin and other digital assets, raising questions about how cryptocurrency exposure affects financial risk. We develop a framework to evaluate the credit risk associated with holding cryptocurrency on corporate balance sheets. Using Bitcoin prices and option-based valuation, we construct pseudo-bonds, synthetic debt instruments backed by digital assets, to calculate yields, leverage ratios, and default probabilities. Cryptocurrency pseudo-bond yields are extremely high and volatile, reflecting cryptocurrency price dynamics. Using daily data from annual samples from 2020 to 2024, we examine correlations between changes in pseudo-bond yields and changes in corporate bond yields across leverage levels. Correlations are generally small once leverage approaches one and above, indicating weak short-run co-movement between crypto-linked credit risk innovations and traditional credit conditions at economically meaningful leverage levels. Our pseudo-bond framework is intended as a transparent screening and comparison device for expressing crypto exposure in credit-market terms.
Keywords:
Cryptocurrency
bonds
pricing
financial markets
Journal
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1.3
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6.1K