We study corporate bond default rates using an extensive new data set spanning the 1866-2008 period. We find that the … corporate bond market has repeatedly suffered clustered default events much worse than those experienced during the Great … entire corporate bond market. We examine whether corporate default rates are best forecast by structural, reduced-form, or …

We study corporate bond default rates using an extensive new data set spanning the 1866-2008 period. We find that the … corporate bond market has repeatedly suffered clustered default events much worse than those experienced during the Great … entire corporate bond market. We examine whether corporate default rates are best forecast by structural, reduced-form, or …

We examine whether there is a flight-to-liquidity premium in Treasury bond prices by comparing them with prices of …

We examine whether there is a flight-to-liquidity premium in Treasury bond prices by comparing them with prices of …

We introduce a reduced-form modeling framework for mortgage-backed securities in which we solve for the implied … actual prepayments, providing direct evidence of significant prepayment risk premia in mortgage-backed security prices. We … risk. We also find evidence that mortgage-backed security prices were significantly affected by Fannie Mae credit risk and …