vulnerabilities. Further, the paper presents operational issues faced by debt managers, including the need to develop a risk …

This paper assesses liquidity risk for the United States (U.S.) bond mutual funds industry and performs a range of …

presented. The interaction between leverage and risk is discussed, and a modified capital adequacy ratio is calculated, which …

significant impact on market-implied sovereign default risk. This adverse effect appears to be more pronounced in advanced …

presented. The interaction between leverage and risk is discussed, and a modified capital adequacy ratio is calculated, which …

Assessing default risks for Chinese firms is hard. Standard measures of risk using market indicators may be unreliable …-based structural model and debt costs. We find evidence that the equity measure of default risk is sensitive to a firm's balance sheet …

The paper analyzes and quantifies the importance of sovereign risk in determining corporate default premia (yield …-currency-denominated corporate bonds. The main findings are: (i) sovereign risk appears to be the single most important determinant of corporate …

I construct a systemic liquidity risk index (SLRI) from data on violations of arbitrage relationships across several … liquidity risk factor. Results show that the level of bank returns is not directly affected by the SLRI, but their volatility … — measured as the sensitivity of volatility to the index. Surprisingly, exposure to systemic liquidity risk is positively …