This paper argues that first passage time models are likely to better than affine hazard rate models in modelling stressed credit markets and confirms their superior performance in explaining the behavior of Credit Default Swap rates for the major US banking groups over the period of the...

In this study, we use the liquid and efficient bond ETF prices and CDX spreads to quantify the effects of the announcements of the Primary and Secondary Market Corporate Credit Facilities on the underlying corporate bonds. We find that those announcements triggered: (i) large and positive jumps...

We investigate the short-term price impact of asset fire sales by corporate bond exchange-traded funds (ETFs) during the COVID-19 crisis, based on daily ETF holdings and flows data. We document that ETFs’ fire sales generate significantly greater price impact on their underlying corporate...