If we examine the characteristics of a sample of green bonds matched with their closest
brown bond neighbors, we encounter a challenge. Green bonds have higher yields, lower …

This study analyses how liquidity risk affects bonds' yield spreads after controlling for credit
risk, bond-specific characteristics and macroeconomic variables. Using two liquidity …

In this book, two of America's leading economists provide the first integrated treatment of the
conceptual, practical, and empirical foundations for credit risk pricing and risk measurement …

We find that liquidity is priced in corporate yield spreads. Using a battery of liquidity
measures covering over 4,000 corporate bonds and spanning both investment grade and …

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 …

The business press is currently sprinkled with references to the “death” or “taming” of the
business cycle in the United States. While such claims are at best premature, they are in part …

We study the implications of imperfect information for term structures of credit spreads on
corporate bonds. We suppose that bond investors cannot observe the issuer's assets …

In the past five years, many sophisticated models for pricing credit risk have been
developed. The rapid progress in this area is primarily a result of the growth of credit …

The chapter gives a broad outline of the central themes of credit risk modeling starting with
the modeling of default probabilities, ratings and recovery. We present the two main …

This article empirically tests five structural models of corporate bond pricing: those of Merton
(1974), Geske (1977), Longstaff and Schwartz (1995), Leland and Toft (1996), and Collin …