The finance literature looks at a number of factors to explain risk premia in corporate debt, such as liquidity effects …, jump-to-default risk, and contagion risk. Stochastic recovery rates as a source of systematic risk have not received much … differently-ranking debt instruments of the same issuer face identical default risk but different default-conditional recovery …

pricing credit risk during the pre-crisis period. -- price discovery ; information share ; fat tails ; tail dependence … ; liquidity ; credit risk …