Evidence from many countries in recent years suggests that collateral values and recovery
rates (RRs) on corporate defaults can be volatile and, moreover, that they tend to go down …

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

A comprehensive look at the enormous growth and evolution of distressed debt markets,
corporate bankruptcy, and credit risk models This Fourth Edition of the most authoritative …

Municipal bond markets began pricing sea-level rise (SLR) exposure risk in 2013,
coinciding with upward revisions to worst-case SLR projections and accompanying …

We model a loop between sovereign and bank credit risk. A distressed financial sector
induces government bailouts, whose cost increases sovereign credit risk. Increased …

Focusing on downgrades as stress events that drive the selling of corporate bonds, we show
that the illiquidity of stressed bonds has increased after the Volcker Rule. Dealers regulated …

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 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 …

A comprehensive look at the enormous growth and evolution of distressed debt, corporate
bankruptcy, and credit risk default This Third Edition of the most authoritative finance book …

We show that credit risk accounts for only a small fraction of yield spreads for investment-
grade bonds of all maturities, with the fraction lower for bonds of shorter maturities, and that …