compensation for borrowers' credit risk under absence of arbitrage opportunities and I use these rates as a benchmark to interpret …

This article presents a comprehensive framework for valuing financial instruments subject to credit risk and … special cases of this framework. We introduce the concept of comvariance (or comrelation) into the area of credit risk … becomes important, especially during the credit crisis. Moreover, we find that collateralization works well for financial …

Using information in US and European bank and sovereign CDS spreads we study the systematic component of banks' credit … channel of the risk contagion theory by showing that a bank's credit risk Beta (a bank's sensitivity to sovereign risk …

This paper analyses the peculiar nature of credit risk in project finance by means of a comparative econometric … analysis of ex ante credit spreads for a large cross section of international loans and bonds between 1993 and 2001 in both … industrialised and emerging countries. Our main contribution relates to the analysis of the term structure of credit spreads for …

We disentangle the complexity of the distress risk premium in stock returns using the risk-neutral measure of credit … risk (valued by CDS spread) and investigate the relation between credit risk and the market beta, size, value, and momentum … effects. Consistent with the argument of the negative distress premium, firms with higher credit risk have lower stock returns …

measures credit risk. Whilest simple and intuitive to traditional buy-and-hold investor base, it quickly became clear that DM … was not effective for pricing and risk management, when mortgage credit rapidly grew out of usually mild credit … this paper we advocate application of portfolio credit derivative no arbitrage pricing framework to mortgage securitization …

facts: (i) regions in the U.S. vary significantly in their “FD-intensity,” measured either by how much additional credit …