We examine what are common factors that determine systematic credit risk and estimate and interpret the common risk … factors. We also compare the contributions of common factors in explaining the changes of credit default swap (CDS) spreads …, this study finds that the eigenstructures across the three subperiods are distinct and the determinants of risk factors …

, banks' disclosures about relevant risk exposures were relatively sparse. Such disclosures came later after major concerns …

, banks' disclosures about relevant risk exposures were relatively sparse. Such disclosures came later after major concerns …

financial stability. Our analysis suggests that, going into the financial crisis, banks' disclosures about relevant risk …

In this paper, I analyze credit risk premia embedded in sovereign CDS spreads. In particular, I consider a heretofore … largely ignored component that reflects the compensation investors demand for default event risk. I find that this default … event risk premium is most heavily priced in short maturity CDS spreads of low-rated countries. Risk premia related to …