This book provides the most comprehensive treatment of the theoretical concepts and
modelling techniques of quantitative risk management. Whether you are a financial risk …

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 …

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 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 …

The probability of extreme default losses on portfolios of US corporate debt is much greater
than would be estimated under the standard assumption that default correlation arises only …

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 …

Standard credit risk models cannot explain the observed clustering of default, sometimes
described as “credit contagion.” This paper provides the first empirical analysis of credit …

We test the doubly stochastic assumption under which firms' default times are correlated
only as implied by the correlation of factors determining their default intensities. Using data …

This article provides an empirical decomposition of the default, liquidity, and tax factors that
determine expected corporate bond returns. In particular, the risk premium associated with a …

Theory predicts that the quality of a firm's information disclosure can affect the term structure
of its corporate bond yield spreads. Using cross-sectional regression and Nelson-Siegel …