Similar Search Results

Corporate Yield Spreads : Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market

Longstaff, Francis A. - 2004

-market liquidity …

Persistent link: https://www.econbiz.de/10012468275

Benmelech, Efraim - 2020

Lenders are unwilling to accept lower credit spreads for secured debt relative to unsecured debt when a firm is healthy. However, they accept significantly lower credit spreads for secured debt when a firm's credit quality deteriorates, the economy slows, or average credit spreads widen. This...

Persistent link: https://www.econbiz.de/10012479323

Option-Based Credit Spreads

Culp, Christopher L. - 2014

We present a novel empirical benchmark for analyzing credit risk using "pseudo firms" that purchase traded assets financed with equity and zero-coupon bonds. By no-arbitrage, pseudo bonds are equivalent to Treasuries minus put options on pseudo-firm assets. Empirically, like corporate spreads,...

Persistent link: https://www.econbiz.de/10012457890

Quantifying Liquidity and Default Risks of Corporate Bonds over the Business Cycle

Chen, Hui - 2014

We develop a structural credit risk model to examine how the interactions of liquidity and default risk affect …, our model generates rich links between liquidity risk and default risk. The introduction of macroeconomic risks helps the … model capture realistic time variation in default risk premia and the default-liquidity spiral over the business cycle …

Persistent link: https://www.econbiz.de/10012458027

Credit Risk in the Euro Area

Gilchrist, Simon - 2014

maturities. The indicators are also constructed at the country level for Germany, France, Italy and Spain. These indicators …

Persistent link: https://www.econbiz.de/10012458623

Dynamic Dispersed Information and the Credit Spread Puzzle

Albagli, Elias - 2014

We develop a dynamic nonlinear, noisy REE model of credit risk pricing under dispersed information that can theoretically and quantitatively account for the credit spread puzzle. The first contribution is a sharp analytical characterization of the dynamic REE equilibrium and its comparative...

Persistent link: https://www.econbiz.de/10012458876

Endogenous Liquidity and Defaultable Bonds

He, Zhiguo - 2012

This paper studies the interaction between fundamental and liquidity for defaultable corporate bonds that are traded in … liquidity, which depends on both the firm fundamental and the time-to-maturity of the bond. Corporate default decisions interact … with the endogenous secondary market liquidity via the rollover channel. A default-liquidity loop arises: Earlier …

Persistent link: https://www.econbiz.de/10012460252

Systematic Risk, Debt Maturity, and the Term Structure of Credit Spreads

Chen, Hui - 2012

liquidity costs changing over the business cycle, our calibrated model implies that debt maturity is pro-cyclical, firms with …

Persistent link: https://www.econbiz.de/10012460293

Credit Spreads and Business Cycle Fluctuations

Gilchrist, Simon - 2011

This paper examines the evidence on the relationship between credit spreads and economic activity. Using an extensive data set of prices of outstanding corporate bonds trading in the secondary market, we construct a credit spread index that is--compared with the standard default-risk...

Persistent link: https://www.econbiz.de/10012461637

Climate Regulatory Risk and Corporate Bonds

Seltzer, Lee H.; Starks, Laura T.; Zhu, Qifei - National Bureau of Economic Research - 2022

Investor concerns about climate and other environmental regulatory risks suggest that these risks should affect corporate bond risk assessment and pricing. We test this hypothesis and find that firms with poor environmental profiles or high carbon footprints tend to have lower credit ratings and...

Persistent link: https://www.econbiz.de/10013191088

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