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 study calibrates the term structure of risk premia before and during the 2007/2008 financial crisis using a new … calibration approach based on credit default swaps. The risk premium term structure was flat before the crisis and downward … sloping during the crisis. The instantaneous risk premium increased significantly during the crisis, whereas the long-run mean …

This paper investigates the market pricing of subprime mortgage risk on the basis of data for the ABX.HE family of … relationship between observed index returns and macroeconomic news as well as market based proxies of default risk, interest rates …, liquidity and risk appetite. The results imply that declining risk appetite and heightened concerns about market illiquidity …

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 …

We develop a framework to analyse the Credit Default Swaps (CDS) market as a network of risk transfers among counter …-parties. From a theoretical perspective, we introduce the notion of flow-of-risk and provide sufficient conditions for a bow … counter-parties: i) Ultimate Risk Sellers (URS), ii) Dealers (indirectly connected to each other),iii) Ultimate Risk Buyers …

Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a … pricing perspective, we find little to no evidence against the World CAPM model, where the market consists out of equity …

This paper explores how the need to transition to a low-carbon economy influences firm credit risk. It develops a novel … forward-looking emission reduction targets, thereby providing a rich picture of firms’ climate-related transition risk … firms’ credit risk: credit ratings and the market-implied distance-to-default. High emissions tend to be associated with …

A large empirical literature suggests that risk premia on stocks or corporate bonds are large and countercyclical. This … paper studies a simple real business cycle model with a small, exogenously time-varying risk of disaster, and shows that it … can replicate several important facts documented in the literature. In the model, an increase in disaster risk leads to a …

This paper explores how the need to transition to a low-carbon economy influences firm credit risk. It develops a novel … forward-looking emission reduction targets, thereby providing a rich picture of firms' climate-related transition risk … firms' credit risk: credit ratings and the market-implied distance-to-default. High emissions tend to be associated with …