The availability of credit insurance via credit default swaps (CDSs) has been closely associated with the emergence of empty creditors. We empirically investigate this issue by looking at the debt restructurings (distressed exchanges and bankruptcy filings) of rated, non-financial U.S. companies...

This paper provides important empirical insights into the relation between equity and credit variables. For this purpose, we compare market and model credit default swaps (CDS) spreads for a sample of obligors over the period 2002-2005, where model spreads are obtained from a popular structural...

In this empirical paper we investigate the role of interest rate, market and idiosyncratic equity variables in explaining the entire shape of the term structure of credit spreads. Recent empirical literature has highlighted the importance of these components as determinants of the credit spread...

We investigate how shocks to the reputation of credit rating agencies and the subsequent introduction of stricter regulation affect investors' reaction to rating signals. We focus on three major episodes of reputational distress: The Enron/WorldCom scandals, the subprime crisis and the lawsuit...