Investor concerns about climate and other environmental regulatory risks suggest that these
risks should affect corporate bond risk assessment and pricing. We test this hypothesis and …

Recent studies document strong empirical support for multifactor models that aim to explain
the cross-sectional variation in corporate bond expected excess returns. We revisit these …

Using loan‐level data from Germany, we investigate how the introduction of model‐based
capital regulation affected banks' ability to absorb shocks. The objective of this regulation …

Default risk permeates the behavior of corporate bond returns and spreads, credit default
swap spreads, estimation of default probabilities, and loss in default. Pertinent to this review …

This paper investigates the pricing of bank loans relative to capital market debt. The analysis
uses a novel sample of loans matched with bond spreads from the same firm on the same …

We develop a structural credit model to examine how interactions between default and
liquidity affect corporate bond pricing. The model features debt rollover and bond-price …

This paper investigates the information in corporate credit ratings. If ratings are to be
informative indicators of credit risk, they must reflect what a risk-averse investor cares about …

We decompose corporate bond and equity index returns into duration-matched government
bond returns and the excess returns over this duration-matched counterfactual, which we …

Secondary market illiquidity is an important non-default factor affecting yield spreads. Yet, a
review of the literature suggests the findings are mixed, both regarding the relative size of …

For globally systemically important banks (GSIBs) with US headquarters, we find significant
reductions in market-implied probabilities of government bailout after the Global Financial …