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Corporate credit ratings, banking fragility, and sovereign credit risk

Author

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  • Valenzuela, Patricio

Abstract

Using corporate credit rating data and a new metric of the expected joint loss of the banking sector conditional on a systemic event (JLoss), this study documents a positive association between corporate credit risk and domestic banking fragility. It also documents that the relationship between corporate and sovereign credit ratings amplifies during periods of banking distress.

Suggested Citation

  • Valenzuela, Patricio, 2025. "Corporate credit ratings, banking fragility, and sovereign credit risk," Finance Research Letters, Elsevier, vol. 82(C).
    • Handle: RePEc:eee:finlet:v:82:y:2025:i:c:s1544612325008700
    DOI: 10.1016/j.frl.2025.107611
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    References listed on IDEAS

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    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services
    • G3 - Financial Economics - - Corporate Finance and Governance

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