This article provides a comprehensive review of scholarly research on credit risk
measurement during the last 57 years applying bibliometric citation analysis and elaborates …

We use the information in credit default swaps to obtain direct measures of the size of the
default and nondefault components in corporate spreads. We find that the majority of the …

This paper explores the nature of default arrival and recovery implicit in the term structures of
sovereign CDS spreads. We argue that term structures of spreads reveal not only the arrival …

Variables that in theory determine credit spreads have limited explanatory power in existing
empirical work on corporate bond data. We investigate the linear relationship between …

We analyse the relationship between credit default swap (CDS), bond and stock markets
during 2000–2002. Focusing on the intertemporal co‐movement, we examine monthly …

This paper attempts to explain the credit default swap (CDS) premium, using a novel
approach to identify the volatility and jump risks of individual firms from high-frequency …

This study examines the intra-industry information transfer effect of credit events, as captured
in the credit default swaps (CDS) and stock markets. Positive correlations across CDS …

This paper investigates the impact of macro-prudential policy (proxied by the counter-
cyclical capital buffer (CCyB)) on bank credit risk during uncertain times, as banking sector …

This paper compares the pricing of credit risk in the bond market and the fast-growing credit
default swap (CDS) market. The cointegration test confirms that the theoretical parity …

This study empirically examines the impact of the interaction between market and default
risk on corporate credit spreads. Using credit default swap (CDS) spreads, we find that …