Traditional methods for evaluating corporate credit risk rarely consider the impact of the macro economy on corporate …

exposed to selection bias nor to the risk of choosing excessively poor models from a parameterized class of candidate …

the usefulness of the methodology by testing the linear risk-return relation predicted by the ICAPM. …

When a sovereign faces the risk of debt default, it may be tempted to expropriate the private sector. This may be one … reason why international investment in private companies has to take into account the sovereign risk. But the likelihood of … sovereign risk transferring to corporates and increasing their risk of default may be mitigated by legal institutions that …

The seminal Barro (2006) closed-economy model of the equity risk premium in the presence of extreme events (disasters … Barro (2006) and Barro and Ursua (2008), that the model can generate values of the riskless rate, equity risk premium and … credit risk spread broadly consistent with those typically observed in the data. …

appr. 40%. Adjusting for taxes and other parts of the credit spread not attributable to credit risk yields an average …-time effects. In addition, our research can be used to explain empirical findings about credit risk premia, which are usually … measured as the ratio of risk-neutral to actual default probabilities. We show that the behavior of these ratios can be …

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 …

liquidity risk, credit risk (financial and sovereign), and interest rate expectations. Our results suggest that liquidity risk … is the main determinant of the volatility of the policy spread, but also that private bank credit risk has become more … fears. In addition, the ECB appears to have been more effective in addressing liquidity risk since the onset of the crisis …

We examine what are common factors that determine systematic credit risk and estimate and interpret the common risk …, this study finds that the eigenstructures across the three subperiods are distinct and the determinants of risk factors …