This study explores the risk premia embedded in sovereign default swaps using a term structure model. The risk premia …. First, the risk premia contribution to the spreads decreases over the sample, 2003-2007, and rebounds at the start of the … "credit crunch." Second, the daily risk premia co-move with US macro news and corporate default risk. Third, global factors …

economy monetary policy changes, US dollar movements, or shifts in global liquidity and risk-aversion. A novel multi … emerging-market leverage, there is little systematic research on factors that impact corporate distress risk in emerging … markets. Existing bankruptcy risk models developed using US data have low predictive power when applied to emerging market …

long time. -- liquidity trap ; financial crisis ; rare disasters ; equity capital ; leverage ; bankruptcy risk …This paper explains the emergence of liquidity traps in the aftermath of large-scale financial crises, as happened in … equity capital to the risk-free interest rate. When equity capital falls, bankruptcy risks rise. Firms become more vulnerable …

bankruptcy risks, monetary policies of providing market liquidity are more effective in generating faster transition dynamics …

exposure to macroeconomic risk, and that FD can increase macroeconomic vulnerability. To do this, we first establish three …

asset prices and corporate default risk. Our model includes two empirically grounded nominal frictions: fixed nominal …

We develop a theory of collateralized debt that emphasizes collateral risk, incentives to acquire information about … effects of an increase in collateral risk …