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Is there a distress risk anomaly? : pricing of systematic default risk in the cross-section of equity returns

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A quantitative analysis of risk premia in the corporate bond market

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Pricing default risk in stochastic time

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A quantitative analysis of risk premia in the corporate bond market

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Measures of corporate credit risk incorporate compensation for unpredictable future changes in the credit environment and compensation for expected default losses. Since the launch of purchases of government securities and corporate securities by the European Central Bank, it has been discussed...

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Credit default swaps, fire-sale risk, and the liquidity provision in the bond market

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Default risk in corporate yield spreads

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Usefulness of earnings in credit markets : Korean evidence

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