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Corporate bond default risk: A 150-year perspective

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Cited by:

  1. Andrew G. Atkeson & Adrien d’Avernas & Andrea L. Eisfeldt & Pierre-Olivier Weill, 2019. "Government Guarantees and the Valuation of American Banks," NBER Macroeconomics Annual, University of Chicago Press, vol. 33(1), pages 81-145.
  2. Mohd Saad, Noriza & Haniff, Mohd Nizal & Ali, Norli, 2020. "Corporate governance mechanisms with conventional bonds and Sukuk’ yield spreads," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
  3. François Gourio, 2013. "Credit Risk and Disaster Risk," American Economic Journal: Macroeconomics, American Economic Association, vol. 5(3), pages 1-34, July.
  4. Georges Dionne & Olfa Maalaoui Chun, 2013. "Default and liquidity regimes in the bond market during the 2002-2012 period," Canadian Journal of Economics, Canadian Economics Association, vol. 46(4), pages 1160-1195, November.
  5. Agostino Capponi & José Figueroa-López & Andrea Pascucci, 2015. "Dynamic credit investment in partially observed markets," Finance and Stochastics, Springer, vol. 19(4), pages 891-939, October.
  6. Pascal François, 2019. "The Determinants of Market-Implied Recovery Rates," Risks, MDPI, vol. 7(2), pages 1-15, May.
  7. András Danis, 2017. "Do Empty Creditors Matter? Evidence from Distressed Exchange Offers," Management Science, INFORMS, vol. 63(5), pages 1285-1301, May.
  8. Bernd Schwaab & Siem Jan Koopman & André Lucas, 2017. "Global Credit Risk: World, Country and Industry Factors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(2), pages 296-317, March.
  9. Escribano, Ana & Maggi, Mario, 2019. "Intersectoral default contagion: A multivariate Poisson autoregression analysis," Economic Modelling, Elsevier, vol. 82(C), pages 376-400.
  10. Kuvshinov, Dmitry & Richter, Björn & Zimmermann, Kaspar, 2022. "The shifts and the shocks: bank risk, leverage, and the macroeconomy," Working Paper Series 2672, European Central Bank.
  11. Anand Deo & Sandeep Juneja, 2021. "Credit Risk: Simple Closed-Form Approximate Maximum Likelihood Estimator," Operations Research, INFORMS, vol. 69(2), pages 361-379, March.
  12. Mikhail Chernov & Brett R. Dunn & Francis A. Longstaff, 2018. "Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities," Review of Financial Studies, Society for Financial Studies, vol. 31(3), pages 1132-1183.
  13. Josefin Meyer & Carmen M Reinhart & Christoph Trebesch, 2022. "Sovereign Bonds Since Waterloo," The Quarterly Journal of Economics, Oxford University Press, vol. 137(3), pages 1615-1680.
  14. Georges Dionne & Olfa Maalaoui Chun, 2013. "Presidential Address: Default and liquidity regimes in the bond market during the 2002–2012 period," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 46(4), pages 1160-1195, November.
  15. Antje Berndt & Rohan Douglas & Darrell Duffie & Mark Ferguson, 2018. "Corporate Credit Risk Premia [Fallen angels and price pressure]," Review of Finance, European Finance Association, vol. 22(2), pages 419-454.
  16. Jorge Cruz Lopez & Alfredo Ibanez, 2020. "European Puts, Credit Protection, and Endogenous Default," University of Western Ontario, Departmental Research Report Series 20205, University of Western Ontario, Department of Economics.
  17. Dudley Cooke & Tatiana Damjanovic, 2020. "Optimal Fiscal Policy in a Model of Firm Entry with Financial Frictions," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 35, pages 74-96, January.
  18. Yun Xie & Yixiang Tian & Zhuang Xiao & Xiangyun Zhou, 2018. "Dependence of credit spread and macro-conditions based on an alterable structure model," PLOS ONE, Public Library of Science, vol. 13(5), pages 1-15, May.
  19. Christian Hellwig & Aleh Tsyvinski & Elias Albagli, 2014. "Dynamic Dispersed Information and the Credit Spread Puzzle," 2014 Meeting Papers 808, Society for Economic Dynamics.
  20. Mr. Daniel C Hardy & Mr. Christian Schmieder, 2013. "Rules of Thumb for Bank Solvency Stress Testing," IMF Working Papers 2013/232, International Monetary Fund.
  21. Li, Tangrong & Sun, Xuchu, 2023. "Is controlling shareholders' credit risk contagious to firms? — Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
  22. Muhammad Atif & Searat Ali, 2021. "Environmental, social and governance disclosure and default risk," Business Strategy and the Environment, Wiley Blackwell, vol. 30(8), pages 3937-3959, December.
  23. Silva, Paulo Pereira da & Vieira, Carlos & Vieira, Isabel, 2015. "The determinants of CDS open interest dynamics," Journal of Financial Stability, Elsevier, vol. 21(C), pages 95-109.
  24. Abildgren, Kim, 2014. "Far out in the tails – The historical distributions of macro-financial risk factors in Denmark," Nationaløkonomisk tidsskrift, Nationaløkonomisk Forening, vol. 2014(1), pages 1-31.
  25. Xu, Xin, 2013. "Forecasting Bankruptcy with Incomplete Information," MPRA Paper 55024, University Library of Munich, Germany, revised 31 Mar 2014.
  26. Misha Beek & Michel Mandjes & Peter Spreij & Erik Winands, 2020. "Regime switching affine processes with applications to finance," Finance and Stochastics, Springer, vol. 24(2), pages 309-333, April.
  27. Galindo Gil, Hamilton, 2021. "What kind of firm is more responsive to the unconventional monetary policy?," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 188-200.
  28. Jiang, Lunan, 2014. "Corporate Default, Investment, and the U.S. Great Depression," MPRA Paper 77242, University Library of Munich, Germany, revised 01 Mar 2017.
  29. Michael B. Imerman, 0. "When enough is not enough: bank capital and the Too-Big-To-Fail subsidy," Review of Quantitative Finance and Accounting, Springer, vol. 0, pages 1-36.
  30. Guillaume Horny & Simone Manganelli & Benoit Mojon, 2018. "Measuring Financial Fragmentation in the Euro Area Corporate Bond Market," JRFM, MDPI, vol. 11(4), pages 1-19, October.
  31. Yoshio Nozawa, 2014. "What Drives the Cross-Section of Credit Spreads?: A Variance Decomposition Approach," Finance and Economics Discussion Series 2014-62, Board of Governors of the Federal Reserve System (U.S.).
  32. Dong, Yinghui & Yuen, Kam C. & Wu, Chongfeng, 2014. "Unilateral counterparty risk valuation of CDS using a regime-switching intensity model," Statistics & Probability Letters, Elsevier, vol. 85(C), pages 25-35.
  33. Haoyi Yang & Shikong Luo, 2023. "A dark side to options trading? Evidence from corporate default risk," Review of Quantitative Finance and Accounting, Springer, vol. 60(2), pages 531-564, February.
  34. Müller, Karsten, 2022. "Busy bankruptcy courts and the cost of credit," Journal of Financial Economics, Elsevier, vol. 143(2), pages 824-845.
  35. Kanas, Angelos & Molyneux, Philip, 2020. "Do measures of systemic risk predict U.S. corporate bond default rates?," International Review of Financial Analysis, Elsevier, vol. 71(C).
  36. Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne & Guillaume Roussellet, 2021. "Affine Modeling of Credit Risk, Pricing of Credit Events, and Contagion," Management Science, INFORMS, vol. 67(6), pages 3674-3693, June.
  37. Robert Elliott & Jia Shen, 2015. "Credit risk and contagion via self-exciting default intensity," Annals of Finance, Springer, vol. 11(3), pages 319-344, November.
  38. HANNAH, Leslie, 2018. "Corporate Governance, Accounting Transparency and Stock Exchange Sizes in Germany, Japan and “Anglo-Saxon” Economies, 1870-1950," Discussion paper series HIAS-E-77, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
  39. Azizpour, S & Giesecke, K. & Schwenkler, G., 2018. "Exploring the sources of default clustering," Journal of Financial Economics, Elsevier, vol. 129(1), pages 154-183.
  40. Robert Elliott & Jia Shen, 2015. "Dynamic optimal capital structure with regime switching," Annals of Finance, Springer, vol. 11(2), pages 199-220, May.
  41. Okou, Cedric & Maalaoui Chun, Olfa & Dionne, Georges & Li, Jingyuan, 2016. "Can Higher-Order Risks Explain the Credit Spread Puzzle?," Working Papers 16-1, HEC Montreal, Canada Research Chair in Risk Management.
  42. Maalaoui Chun, Olfa & Dionne, Georges & François, Pascal, 2014. "Credit spread changes within switching regimes," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 41-55.
  43. Marti G. Subrahmanyam & Dragon Yongjun Tang & Sarah Qian Wang, 2012. "Does the Tail Wag the Dog? The Effect of Credit Default Swaps on Credit Risk," Working Papers 292012, Hong Kong Institute for Monetary Research.
  44. Kuvshinov, Dmitry & Zimmermann, Kaspar, 2020. "The Expected Return on Risky Assets: International Long-run Evidence," CEPR Discussion Papers 15610, C.E.P.R. Discussion Papers.
  45. Agosto, Arianna & Cavaliere, Giuseppe & Kristensen, Dennis & Rahbek, Anders, 2016. "Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 640-663.
  46. Kuang-Hua Hu & Shih-Kuei Lin & Yung-Kang Ching & Ming-Chin Hung, 2021. "Goodness-of-Fit of Logistic Regression of the Default Rate on GDP Growth Rate and on CDX Indices," Mathematics, MDPI, vol. 9(16), pages 1-14, August.
  47. Bai, Hang, 2021. "Unemployment and credit risk," Journal of Financial Economics, Elsevier, vol. 142(1), pages 127-145.
  48. Tak-Yuen Wong & Jin Yu, 2022. "Credit Default Swaps and Debt Overhang," Management Science, INFORMS, vol. 68(3), pages 2069-2097, March.
  49. Mora, Nada, 2015. "Creditor recovery: The macroeconomic dependence of industry equilibrium," Journal of Financial Stability, Elsevier, vol. 18(C), pages 172-186.
  50. Ang, Andrew & Longstaff, Francis A., 2013. "Systemic sovereign credit risk: Lessons from the U.S. and Europe," Journal of Monetary Economics, Elsevier, vol. 60(5), pages 493-510.
  51. Eric Swanson, 2015. "A Macroeconomic Model of Equities and Real, Nominal, and Defaultable Debt," 2015 Meeting Papers 273, Society for Economic Dynamics.
  52. Kim, Myeong Hyeon & Kim, Baeho, 2014. "Systematic cyclicality of systemic bubbles: Evidence from the U.S. commercial banking system," Journal of Macroeconomics, Elsevier, vol. 42(C), pages 281-297.
  53. Claußen, Arndt & Löhr, Sebastian & Rösch, Daniel & Scheule, Harald, 2017. "Valuation of systematic risk in the cross-section of credit default swap spreads," The Quarterly Review of Economics and Finance, Elsevier, vol. 64(C), pages 183-195.
  54. Hanedar, Avni Önder & Yaldız Hanedar, Elmas & Göktan, Mehmet Gökhan, 2022. "Insider trading on Ottoman sovereign default: The Ottoman General Debt Bond at European and İstanbul financial markets," Finance Research Letters, Elsevier, vol. 47(PB).
  55. Atkeson, Andrew G. & Eisfeldt, Andrea L. & Weill, Pierre-Olivier, 2017. "Measuring the financial soundness of U.S. firms, 1926–2012," Research in Economics, Elsevier, vol. 71(3), pages 613-635.
  56. Yu Zhao & Huaming Du & Qing Li & Fuzhen Zhuang & Ji Liu & Gang Kou, 2022. "A Comprehensive Survey on Enterprise Financial Risk Analysis from Big Data Perspective," Papers 2211.14997, arXiv.org, revised May 2023.
  57. Calice, Giovanni & Ioannidis, Christos & Miao, RongHui, 2016. "A Markov switching unobserved component analysis of the CDX index term premium," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 189-204.
  58. Fischer, Henning & Stolper, Oscar, 2019. "The nonlinear dynamics of corporate bond spreads: Regime-dependent effects of their determinants," Discussion Papers 08/2019, Deutsche Bundesbank.
  59. Stephanie Heck, 2022. "Corporate bond yields and returns: a survey," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(2), pages 179-201, June.
  60. Robert Goldberg, 2015. "A methodology for computing and comparing implied equity and corporate-debt Sharpe Ratios," Review of Quantitative Finance and Accounting, Springer, vol. 44(4), pages 733-754, May.
  61. Nadarajah, Sivathaasan & Duong, Huu Nhan & Ali, Searat & Liu, Benjamin & Huang, Allen, 2021. "Stock liquidity and default risk around the world," Journal of Financial Markets, Elsevier, vol. 55(C).
  62. Yifei Wang & Toni M. Whited & Yufeng Wu & Kairong Xiao, 2022. "Bank Market Power and Monetary Policy Transmission: Evidence from a Structural Estimation," Journal of Finance, American Finance Association, vol. 77(4), pages 2093-2141, August.
  63. Bai, Jennie & Goldstein, Robert S. & Yang, Fan, 2020. "Is the credit spread puzzle a myth?," Journal of Financial Economics, Elsevier, vol. 137(2), pages 297-319.
  64. Lohmann, Christian & Möllenhoff, Steffen, 2023. "Dark premonitions: Pre-bankruptcy investor attention and behavior," Journal of Banking & Finance, Elsevier, vol. 151(C).
  65. Oliver Blümke, 2020. "Estimating the probability of default for no‐default and low‐default portfolios," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 69(1), pages 89-107, January.
  66. Oliver Blümke, 2022. "Multiperiod default probability forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(4), pages 677-696, July.
  67. Switzer, Lorne N. & Picard, Alan, 2016. "Stock market liquidity and economic cycles: A non-linear approach," Economic Modelling, Elsevier, vol. 57(C), pages 106-119.
  68. Murphy, Austin & Headley, Adrian, 2022. "An empirical evaluation of alternative fundamental models of credit spreads," International Review of Financial Analysis, Elsevier, vol. 81(C).
  69. Dagmar Čámská, 2016. "Development tendencies of prediction models with an emphasis on Central Europe," Ekonomika a Management, Prague University of Economics and Business, vol. 2016(4).
  70. Chao Xu & Yinghui Dong & Guojing Wang, 2019. "The pricing of defaultable bonds under a regime-switching jump-diffusion model with stochastic default barrier," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 48(9), pages 2185-2205, May.
  71. Nada Mora, 2012. "What determines creditor recovery rates?," Economic Review, Federal Reserve Bank of Kansas City, vol. 97(Q II).
  72. Turkmen Muldur Gozde & Kandir Serkan Yılmaz & Onal Yıldırım Beyazıt, 2019. "Investor Sentiment and Speculative Bond Yield Spreads," Foundations of Management, Sciendo, vol. 11(1), pages 177-186, January.
  73. Meng, Qingbin & Huang, Haozheng & Li, Xinyu & Wang, Song, 2023. "Short-selling and corporate default risk: Evidence from China," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 398-417.
  74. Lyndon Moore & Gertjan Verdickt, 2022. "Railroad Bailouts in the Great Depression," Papers 2205.13025, arXiv.org, revised May 2023.
  75. Michael B. Imerman, 2020. "When enough is not enough: bank capital and the Too-Big-To-Fail subsidy," Review of Quantitative Finance and Accounting, Springer, vol. 55(4), pages 1371-1406, November.
  76. Warren Bailey & Lin Zheng & Yinggang Zhou, 2012. "What Makes the VIX Tick?," Working Papers 222012, Hong Kong Institute for Monetary Research.
  77. Harjoat S. Bhamra & Christian Dorion & Alexandre Jeanneret & Michael Weber, 2018. "Low Inflation: High Default Risk AND High Equity Valuations," NBER Working Papers 25317, National Bureau of Economic Research, Inc.
  78. Doumpos, Michalis & Andriosopoulos, Kostas & Galariotis, Emilios & Makridou, Georgia & Zopounidis, Constantin, 2017. "Corporate failure prediction in the European energy sector: A multicriteria approach and the effect of country characteristics," European Journal of Operational Research, Elsevier, vol. 262(1), pages 347-360.
  79. Lijun Bo & Huafu Liao & Xiang Yu, 2017. "Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching," Papers 1712.05676, arXiv.org, revised Oct 2018.
  80. Cui, Wei & Kaas, Leo, 2021. "Default cycles," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 377-394.
  81. Wang, Liyue & Yang, Liuyong, 2023. "Environmental, social and governance performance and credit risk: Moderating effect of corporate life cycle," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
  82. Geir D. Berentsen & Jan Bulla & Antonello Maruotti & Bård Støve, 2022. "Modelling clusters of corporate defaults: Regime‐switching models significantly reduce the contagion source," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 71(3), pages 698-722, June.
  83. Klein, Arne C. & Pliszka, Kamil, 2018. "The time-varying impact of systematic risk factors on corporate bond spreads," Discussion Papers 14/2018, Deutsche Bundesbank.
  84. Dong, Yinghui & Wang, Guojing, 2014. "Bilateral counterparty risk valuation for credit default swap in a contagion model using Markov chain," Economic Modelling, Elsevier, vol. 40(C), pages 91-100.
  85. Wang, Xiaoting & Hou, Siyuan & Shen, Jie, 2021. "Default clustering of the nonfinancial sector and systemic risk: Evidence from China," Economic Modelling, Elsevier, vol. 96(C), pages 196-208.
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  88. Paulo V. Carvalho & José D. Curto & Rodrigo Primor, 2022. "Macroeconomic determinants of credit risk: Evidence from the Eurozone," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 2054-2072, April.
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  91. Ho, Kung-Cheng & Yen, Huang-Ping & Gu, Yan & Shi, Lisi, 2020. "Does societal trust make firms more trustworthy?," Emerging Markets Review, Elsevier, vol. 42(C).
  92. Anand Deo & Sandeep Juneja, 2019. "Credit Risk: Simple Closed Form Approximate Maximum Likelihood Estimator," Papers 1912.12611, arXiv.org.
  93. Francis A. Longstaff & Ilya A. Strebulaev, 2014. "Corporate Taxes and Capital Structure: A Long-Term Historical Perspective," NBER Working Papers 20372, National Bureau of Economic Research, Inc.
  94. Ming-Chin Hung & Yung-Kang Ching & Shih-Kuei Lin, 2021. "Impact of COVID-19 on the Robustness of the Probability of Default Estimation Model," Mathematics, MDPI, vol. 9(23), pages 1-13, November.
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