-measurement framework for the signal extraction and forecasting of macro, credit, and loss given default risk conditions for U.S. Moody …

using dynamic factors from a large panel of selected macroeconomic and financial data as well as common unobserved risk …

This paper examines the pricing of public debt in a quantitative macroeconomic model with government default risk …. We analyze the conditions under which expected default risk premia can quantitatively rationalize sizeable spreads on … public bonds. Sovereign default risk premia turn out to emerge at either very high debt to output ratios, or if the variance …

Empirical measures of world consumption growth risk have failed to rationalize the cross-section of country equity … returns. We propose a new factor, termed "the global consumption factor", to explain the patterns in risk premiums on … from 47 developed and emerging market countries over a four-decade period. Our risk factor reflects changes in the cross …

Cyclicality in the losses of bank loans is important for bank risk management. Because loans have a different risk …