This paper explores the dynamic relationship between stock market implied credit spreads, CDS spreads, and bond spreads. A general VECM representation is proposed for changes in the three credit spread measures which accounts for zero, one, or two independent cointegration equations, depending...

We analyze the nature of sovereign credit risk for selected Asian and European countries through a set of sovereign CDS data for an eighty-year period that includes the episode of the 2008-2009 financial crisis. Our principal component analysis results suggest that there is strong commonality in...

Recently, financial institutions have developed improved internal risk rating systems and emphasized the probability of default and loss given default. The default characteristics are studied for 756 loans from a French bank: CIC- Banque SNVB. A binomial logit regression is used to estimate...

Small businesses may be expected to be more likely to fail because they are more volatile, have less power in negotiations with financial and social partners, are more credit-rationed by credit managers, are less likely to benefit from their experience or 'learning effects', compared to large...