term structure models like the CIR model. -- CDS spreads ; bond spreads ; default intensity ; credit derivatives pricing … ; spread risk modelling ; credit risk modelling ; loan book valuation ; CIR model …

This paper investigates the role of loan contract terms in the performance of consumer credit. Taking advantage of a …

Credit spreads rise after a monetary policy tightening, yet spread reactions are heterogeneous across firms. Exploiting … with high leverage experience a more pronounced increase in credit spreads than firms with low leverage. A large fraction … of this increase is due to a component of credit spreads that is in excess of firms' expected default. Our results …