The present international financial market is characterized by remarkably high financial volatility, which reflects a substantial loss of confidence, drying up inter-bank credit and spiking short-term interest rates. Inflationary pressures combined with financial risks, both originating in the...

Dynamics of credit markets impact almost all participants in financial markets. Yet, despite rapidly growing international credit markets, we know little about the dynamics of global credit markets, as most studies focus on the US. Here, I propose a new distance-to-default model, empirically...