We explore how general economic conditions impact defaults and major credit rating changes by fitting reduced-form Cox intensity models with a broad range of macroeconomic and firm-specific ratings-related variables. For all corporate issuers in the period 1981–2002 we find both types of...

We examine the risk neutral probability density (RND) for the S&P 500 extracted from real-time bid and ask quotes for index options, under extreme market stress during the fall of 2008. The RND provides exceptional detail about investors' expectations as intraday volatility increased to a level...