issuers, we provide evidence to support a statistically significant negative downgrade risk premium in excess returns …, suggesting that stocks at higher risk of failure tend to deliver lower returns. The performance of the model remains robust …

. Structured finance ratings, however, are informationally insufficient because the systematic risk of equally rated assets can …). The linear CAPM beta is insufficient, buyers and sellers need also the same information on non-linear risk to have an …

idiosyncratic proxies for risk. Moreover, the model features endogenous balance sheet choices and a novel formulation of the … targeted leverage ratio, in which assets are risk-weighted by risk-sensitivity measures. The results highlighted in this paper …

This paper analyzes the influence of downside risk on defaultable bond returns. By introducing a defaultable bond …-trading model, we show that the decline in market risk tolerance and information accuracy leads to trading loss under downside … conditions. Our empirical analysis indicates that downside risk can explain a large proportion of the variation in yield spreads …