In response to the recent elevated corporate credit risk environment in China’s credit market, we develop a probability of default (PD) measure for Chinese companies using actual corporate bond defaults by applying the Least Absolute Shrinkage and Selection Operator (LASSO) machine learning...

In response to the global concern of the Evergrande debt crisis, we document several findings of the crisis’s contagion effect. First, although most real estate companies have strong financial fundamentals, the high default risk among large firms sends an alarming signal. Second, the spillover...