This paper analyzes the influence of downside risk on defaultable bond returns. By introducing a defaultable bond …-trading model, we show that the decline in market risk tolerance and information accuracy leads to trading loss under downside … conditions. Our empirical analysis indicates that downside risk can explain a large proportion of the variation in yield spreads …

, whilst removing credit risk transmission, systematically increase default risk …

to represent the compensation for default risk exposure. In this paper we show that this default premium is seriously … insensitive to market-wide changes in default risk. These maturity and quality biases seriously limit the use of the Ibbotson … default premium series in empirical research, because instead of reflecting pure default risk, it also (negatively) reflects …

We study the endogenous determination of corporate debt maturity in a setting with default risk. We assume that firms … risk. The technology is such that earnings can switch to a higher (but riskier) level. In this second phase firms have … access to the equity market but they may default if this is the best option. We call this strategic default risk. In the …