, adjusting corporate bond spreads for credit risk of the issuer and the term, coupon and liquidity premia. I find that the …

the credit risk of their corporate loan portfolios when the latter are used as collateral in the Eurosystem’s monetary … actually used as Eurosystem collateral, particularly for large loans. The less conservative estimates of risk by IRBs relative … estimation of risk by banks …

secured and unsecured markets following an adverse shock to credit risk. The scarcity of underlying collateral may amplify the …We study the functioning of secured and unsecured interbank markets in the presence of credit risk. The model generates …

We analyze optimal hedging contracts and show that although hedging aims at sharing risk, it can lead to more risk …-taking. News implying that a hedge is likely to be loss-making undermines the risk-prevention incentives of the protection seller …. This incentive problem limits the capacity to share risks and generates endogenous counterparty risk. Optimal hedging can …

This paper investigates the determinants of the default risk premia embedded in the European credit default swap … spreads. Using a modified version of the intertemporal capital asset pricing model, we show that default risk premia represent … compensation for bearing exposure to systematic risk and to a new common factor capturing the proneness of the asset returns to …

, the announcement produced substantial spillover effects on risk premia. Credit risk premia declined, both in the corporate … ineligible bonds. Firms took advantage of reduced risk premia by issuing riskier bond types. Using a novel and comprehensive …

decouple across secured and unsecured markets following an adverse shock to credit risk. The scarcity of underlying collateral …We study the functioning of secured and unsecured inter-bank markets in the presence of credit risk. The model …

tight and stable in the weeks preceding the intensification of the crisis. Firstly, the packages induced a decrease in risk … spreads for banks at the expense of a marked increase in risk spreads for governments. Secondly, we show that in addition to … this one-off jump in the levels of CDS spreads, the packages strongly increased the sensitivity of sovereign risk spreads …

This paper investigates the power of macroeconomic factors to explain euro area bond risk premia using (i) a large … factors, in particular economic activity and sentiment indicators, explain 40% of the variability of risk premia before the …