--in particular, balance sheet constraints and counterparty credit risk. The empirical evidence supports the Fed's views on the … primacy of balance sheet constraints in the earlier stages of the crisis and the increased prominence of counterparty credit … risk as the crisis evolved in 2008. I conclude that an understanding of the prevailing risk environment is necessary in …

an average loss given default of 35.2 percent, this lower default risk implies reduced credit losses of 134 basis points …This paper analyzes the relationship between changes in borrowers' monthly mortgage payments and future credit … Program (HARP). We use a competing risk model to estimate the sensitivity of default risk to downward adjustments of borrowers …

real projects that receive funding and, hence, the supply of credit. Monetary policy affects risk appetite by changing the …The macro risk premium measures the threshold return for real activity that receives funding from savers. We base our … argument in this paper on the relationship between the macro risk premium and the growth of financial intermediaries' balance …

different PD estimation methods-cohort and duration (intensity)-using twenty-two years of credit ratings data. We find that the …

Reduced-form models of default that attribute a large fraction of credit spreads to compensation for credit event risk … economy comprised of a large number of firms, credit event risk premia have an upper bound of just a few basis points and are … dwarfed by the contagion premium. We provide empirical evidence supporting the view that credit event risk premia are …