concentration of collateral bonds' risk premia in spreads of non-equity tranches. This illustrates limitations of the rating … methodologies, which are solely based on estimates of real-world payoff prospects and thus do not capture risk premia. We also show …

liquidity. This paper sheds light on the dynamic interactions between credit and liquidity risk in the credit default swap … market. Contrary to the common belief that illiquidity leads to a credit risk deterioration in financial markets, it is found … that in a sample of German and Swiss companies, credit risk is more likely to be weakly endogenous for liquidity risk than …

I propose a new procedure for extracting probabilities of default from structural credit risk models based on model … asset variance on the option value of debt and equity. In contrast to real-world credit spreads, MICS do not contain risk …. Relative to a standard distance to default (DD) measure, my measure (i) predicts higher credit risk for safe rms and lower …

We examine what are common factors that determine systematic credit risk and estimate and interpret the common risk …, this study finds that the eigenstructures across the three subperiods are distinct and the determinants of risk factors … factor models. -- credit default swaps ; common factors ; credit risk …

Management risk occurs because uncertainty about future managerial decisions increases a firm's overall risk. This … paper documents the importance of management risk in determining firms' cost of borrowing. CDS spreads, loan spreads and … bond yield spreads all increase at the time of CEO turnover, when management risk is highest, and decline over the first …