firms and concludes that both the size and book-to-market effects are related to default risk. For example, small firms earn … higher return than big firms only if they have higher default risk and value stocks earn higher returns than growth stocks if … their default risk is high. In this paper we use a more advanced compound option pricing model for the computation of …

While empirical literature has documented a negative relation between default risk and stock returns, the theory … suggests that default risk should be positively priced. We provide an explanation for this "default anomaly", by calculating … components. The systematic part, measured as the PD sensitivity to aggregate default risk, is positively related to stock returns …

Purpose: Previous research on the relationship between a firm’s distress risk and future stock returns produces … risk leads to positive rewards, while unsystematic distress risk leads to low stock returns. In addition, this study … intends to elucidate the factors of systematic distress risk and unsystematic distress risk, respectively. In this way, this …

In this paper we use a reduced form model for the analysis of Portfolio Credit Risk. For this purpose, we fit a Dynamic … of financial distressful events. In a second stage of the analysis, we find that reduced form Portfolio Credit Risk … Basel 2. Moreover, the direct method of forecasting gives the smallest Portfolio Credit Risk measures. Finally, when using …