We test whether a simple measure of corporate insolvency based on equity return volatility - and denoted as Distance to … Insolvency (DI) - delivers better predictions of corporate default than the widely-used Expected Default Frequency (EDF) measure …

We investigate the dynamic properties of systematic default risk conditions for firms in different countries … significant role. For all firms, deviations of systematic default risk from macro fundamentals are correlated with net tightening … bank lending standards, suggesting that bank credit supply and systematic default risk are inversely related. …

lending generates bank asset returns with limited upside but significant downside risk. The asymmetric distribution of these …

informing on the procyclicality of risk parameters and bank capital requirements. …

that this will lead to a dynamic factor model with the dominant unit acting as the factor. The problems of estimation and …