We estimate a reduced-form model of credit risk that incorporates stochastic volatility in default intensity via …

injection announcements on systemic risk for the banking sector in the U.S. and the euro area between 2008 and 2013. We propose … a new measure of options-based systemic risk called downside correlation risk premium (DCRP), which quantifies the … compensation investors demand for being exposed to the risk of large correlated drops in bank stock prices. DCRP is calculated …

Do governments default on debt denominated in their own currency? We introduce a new measure of sovereign credit risk …, the local currency credit spread, defined as the spread of local currency bonds over the synthetic local currency risk …-country correlations, and are less sensitive to global risk factors. Global risk aversion and liquidity factors can explain more time …

Estimated dynamic models of business cycles in emerging markets deliver counterfactual predictions for the country risk … which a time-varying country risk premium emerges endogenously. In the proposed model, a firm's borrowing rate adjusts … model and find that it can account for the volatility and the countercyclicality of country risk premium as well as for …