We study default risk in an incomplete markets general equilibrium setting. We show some interesting properties of … aggregate components of credit risk, summarized in our model by 'credit quality.' Finally we argue that states with the … receivables are anticipated, this ‘contagion risk' is priced …

issuing defaultable bonds even when underlying firm fundamentals remain unchanged. Hedging (Speculating on) credit risk lowers …

risk and uncertainty is implemented by applying the Gilboa-Schmeidler (1989) maxmin with multiple priors framework to …

between risk and uncertainty is implemented by applying the Gilboa-Schmeidler (1989) maxmin with multiple priors framework to …

aggregate risk premia. Building on the idea that corporate debt, while safe in normal times, is exposed to the risk of economic … depression, this paper embeds a trade-off theory of capital structure into a real business cycle model with a small, time …-varying risk of large economic disaster. This simple feature generates large, volatile and countercyclical credit spreads as well …

Credit spreads are large, volatile and countercyclical, and recent empirical work suggests that risk premia, not … recessions, is exposed to economic depressions, this paper embeds a trade-off theory of capital structure into a real business … cycle model with a small, exogenously time-varying risk of economic disaster. The model replicates the level, volatility and …

aggregate risk premia. Building on the idea that corporate debt, while safe in normal times, is exposed to the risk of economic … depression, this paper embeds a trade-off theory of capital structure into a real business cycle model with a small, time …-varying risk of large economic disaster. This simple feature generates large, volatile and countercyclical credit spreads as well …

This paper investigates the relationship between credit and liquidity risk components in the UK interbank spread during … risk was a major factor in the widening of the spread and also caused a rise in liquidity risk. However, this relationship … and ultimately, and indirectly, credit risk. We also find evidence that suggests liquidity schemes provided by other …