In a risk-neutral environment, credit spread has been regarded as a function of two variables, i.e., default probability and recovery rate. Once the recovery rate is determined, a spread can be employed to calculate implied default rate of a specific credit name. Most importantly, default...

Purpose Financial price forecast issues are always a concern of investors. However, the financial applications based on machine learning methods mainly focus on stock market predictions. Few studies have explored credit risk predictions. Understanding credit risk trends can help investors avoid...

The relation between tick size and market quality is of interests to both academics and practitioners. The decimalization on the NYSE offers a rare opportunity to empirically examine the effects of tick size change on market quality. This paper performs a thorough study of the influences of tick...