We develop a two-layer asset pricing framework to analyze the fragility of the corporate bond market. In the model, households allocate wealth to institutional investors such as mutual funds and insurance companies. Institutional investors then allocate funds to specific assets. Equilibrium...

Credit market freezes in which debt issuance declines dramatically and market liquidity evaporates are typically observed during financial crises. In the financial crisis of 2008-09, the structured credit market froze, issuance of corporate bonds declined, and secondary credit markets became...

The recent global financial crisis has shown portfolio correlations between agents as one of the key channels of risk contagion and amplification. In this work, we analyse the structure and dynamics of the cross-correlation matrix of banks' loan portfolios in the yearly bank-firm credit network...

We consider the problem of maximizing expected utility for a power investor who can allocate his wealth in a stock, a defaultable security, and a money market account. The dynamics of these security prices are governed by geometric Brownian motions modulated by a hidden continuous time finite...

Corporate loans increasingly have become an important part of portfolio management with the advent of a liquid and transparent secondary market. This paper examines the pricing of characteristics and betas in the cross-section of expected loan returns. Expected loan returns decrease with default...

This study is an investigation of the determinants of the development of technology-driven alternative credit markets, that is, fintech and bigtech credit. Using a data sample from 94 countries from 2013–2019, we confirmed the relevance of the availability of credit data, both the traditional...