The purpose of this article is to explain the spread between rates on corporate and
government bonds. We show that expected default accounts for a surprisingly small fraction …

We provide maximum likelihood estimators of term structures of conditional probabilities of
corporate default, incorporating the dynamics of firm-specific and macroeconomic …

This paper analyzes the association between default and recovery rates on credit assets
and seeks to empirically explain this critical relationship. We examine recovery rates on …

We study corporate bond default rates using an extensive new data set spanning the 1866–
2008 period. We find that the corporate bond market has repeatedly suffered clustered …

The distribution of ratings changes plays a crucial role in many credit risk models. As is well-
known, these distributions vary across time and different issuer types. Ignoring such …

Economic theory tells us that market and credit risks are intrinsically related to each other
and not separable. We describe the two main approaches to pricing credit risky instruments …

Corporate default risk can affect financial stability and the macroeconomy. However, the
determinants of corporate default risk in China are not well defined in the literature. We …

Over the last fifteen years, numerous finance articles have examined the effect of
antitakeover statutes (ATSs) on firm and managerial behavior. In this Article, we evaluate …

An essential guide to credit derivatives Credit derivatives has become one of the fastest-
growing areas of interest in global derivatives and risk management. Credit Derivatives …

In the last decade rating-based models have become very popular in credit risk
management. These systems use the rating of a company as the decisive variable to …