We investigate the role of "country risk" in determining the default risk of firms in emerging markets. In particular … greater country risk. …

From a credit risk perspective, little is known about the distress factors -- economy-wide or firm-specific -- that are … defaultable coupon bond yields. Credit risk models that take into consideration leverage and book-to-market are found to reduce … errors, the credit risk models perform relatively better for high grade bonds. Controlling for credit rating, the model …

Evaluating default correlations and the probabilities of multiple defaults is an important task in credit analysis and … risk management, but it has never been an easy one because default correlations cannot be measured directly. This paper …

The credit derivatives market is emerging as a potentially important new development that may help shape the overall … financial markets in the years to come. In this paper, I provide a brief overview of the credit derivatives market and assess … its future potential in the creation of private-sector instruments that are virtually free of default risk, and, thus, may …

rates implicit in bond prices. Among potential applications, the framework can be used for pricing and hedging credit …

generating both relatively flat yield spreads when firms have low credit risk and steeper yield spreads when firms have higher … credit risk. … of misspecification. The results indicate that single factor models of instantaneous default risk face a significant …

carry a uniform risk weight, irrespective of variations in credit risk. The proposed new Capital Accord of the Bank for … International Settlements provides for a greater sensitivity of capital requirements to credit risk, raising the question of whether … agencies. We combine Moody's data on changes in U.S. borrowers' credit ratings since 1970 with estimates of the risk profile of …

At a macroeconomic level, infrastructure and productivity are positively correlated in the United States and other … infrastructure to productivity, or the reverse. This paper focuses on roads, and finds that vehicle-intensive industries benefit … disproportionately from road-building: when road growth changes, productivity growth changes more in industries that are more vehicle …

countries. The paper begins by surveying earlier estimates of relative productivity and unit labor cost levels and evaluating … productivity translated into dollars at purchasing power parity exchange rates. These estimates are compared with results obtained …

Productivity rises in booms and falls in recessions. There are four main explanations for procyclical productivity: (i … are particularly important in explaining procyclical productivity. We argue that the reallocation effects that we identify …