We propose a method to extract individual firms' risk-neutral return distributions by combining options and credit …. Jointly, options and CDS span the intermediate part of the distribution, which is driven by moderate-sized jump risk. We study … the returns on a trading strategy that buys (sells) stocks exposed to positive (negative) moderate-sized jump risk …

VIX slope risk is approximately 2.5% annually, statistically significant and cannot be explained by other common factors …, such as the market excess return, size, book-to-market, momentum, liquidity, market volatility, and the variance risk …

quantitative model where firms make investment, financing, and default decisions subject to aggregate and idiosyncratic risk. Firms … profit opportunities and increases default risk for debtholders. Equityholders are protected against default risk due to the …

This paper proposes a risk-based explanation of the negative relation between credit spreads and expected equity … risk-adjusted return than high net leverage ones; (ii) risk-adjusted returns on net leverage sorted portfolios are …

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

payments subject to default risk. We use a discrete risk-neutral present value model with expected payments for risk …-neutral investors and risk-free spot rates for the valuation. The expected payments include the potentiality of default by weighting … promised payments the risk-neutral default probabilities. The required risk-neutral default probabilities are derived from …

We present a structural method for measuring the upper bound for the illiquidity risk of liabilities issued by a … issuing firm's asset risk and leverage ratio. Consistent with the empirical literature the illiquidity spread is positively … related to the issuing firm's asset risk and leverage ratio and the illiquidity component increases with a bond's credit …

We embed a structural model of credit risk inside a dynamic continuous-time consumption-based asset pricing model …, creating intertemporal risk, which agents prefer to resolve sooner rather than later, because they have Epstein …, together with a reasonable levered equity risk premium, which varies with macroeconomic conditions …

, economic uncertainty, and risk premia influence firms' financing and default policies. Countercyclical fluctuations in risk …. These comovements generate large credit risk premia for investment grade firms, which helps address the "credit spread …