credit risk-premium to model spikes in CDS rates during stressed market conditions. We develop the statistical evidence for …

We study the response of bond spreads to a liquidity supply shock in the credit default swap (CDS) market. Our …

I examine the relationship between credit default swap spreads and implied cost of equity. These two empirically …

This article studies the economic factors behind corporate default risk premia in Europe during the period 2006 …–2010. We employ information embedded in Credit Default Swap (CDS) contracts to quantify expected excess returns from the … creditworthiness of the bond issuer from their remuneration for the risk that the bond's price will drop in the event of default. Our …

We evaluate sovereign default risk in G7+5 countries under the novel coronavirus disease (COVID-19) crisis in 2020. A … second COVID-19 wave has been spreading worldwide since the end of 2020. We first derive default risk parameters using … sovereign credit default swap spreads and constant maturity treasury yields. In all countries except Canada, China, and South …

liquidity. This paper sheds light on the dynamic interactions between credit and liquidity risk in the credit default swap …During the recent financial crisis that erupted in mid-2007, credit default swap spreads increased by several hundred … market. Contrary to the common belief that illiquidity leads to a credit risk deterioration in financial markets, it is found …

We examine what are common factors that determine systematic credit risk and estimate and interpret the common risk … factors. We also compare the contributions of common factors in explaining the changes of credit default swap (CDS) spreads …, this study finds that the eigenstructures across the three subperiods are distinct and the determinants of risk factors …

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 …

This paper examines the impact of cross-border acquisition announcements on the U.S. bidders’ credit risk. On average …, we find a significant increase in bidders’ rating-adjusted credit default swap (CDS) spreads around an acquisition …’ credit risk around announcements of majority but not full control EM acquisitions to the weaker legal environment and …

outstanding debt via a credit default swap (CDS). The onset of CDS trade thus accelerates client bankruptcy. We predict that the …