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 …

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 …

Written by one of the leading experts in the field, this book focuses on the interplay between
model specification, data collection, and econometric testing of dynamic asset pricing …

This paper decomposes the explained part of the CDS spread changes of 32 listed euro
area banks according to various risk drivers. The choice of the credit risk drivers is inspired …

We propose an empirical study on the pricing effect of liquidity level and liquidity risk in the
credit default swaps (CDS) market. CDS is the key constituent of the fast growing credit …

Using a sample of 161 global banks in 23 countries, we examine the applicability of market-
based structural models and accounting-based bank fundamentals to price global bank …

Investors' learning of the state of future real fundamentals from current inflation leads to
macroeconomic state dependence of asset valuations and solvency ratios of firms within …

Despite increased economic turmoil over the past few years, the Islamic financial sector
including sukuk has shown tremendous growth and stability. This study examines the yield …

This article empirically investigates the impact of macroeconomic uncertainty on the spreads
of individual firms' Credit Default Swaps (CDSs). While the existing literature acknowledges …

We employ a multi-factor analysis from both a firm-specific (microeconomic) and market-
specific (macroeconomic) perspective to examine the determinants of credit default swap …