In this article we analyze the slope of the term structure of credit spreads. We investigate the explanatory role of interest rate, market, and idiosyncratic equity variables that the recent empirical literature highlights as important determinants of credit spread levels. This study extends the...

In this empirical paper we investigate the role of interest rate, market and idiosyncratic equity variables in explaining the entire shape of the term structure of credit spreads. Recent empirical literature has highlighted the importance of these components as determinants of the credit spread...

This paper provides important empirical insights into the relation between equity and credit variables. For this purpose, we compare market and model credit default swaps (CDS) spreads for a sample of obligors over the period 2002-2005, where model spreads are obtained from a popular structural...

In this paper we present a valuation model that combines features of both the structural and reduced-form approaches for modelling default risk. We maintain the cause and effect or 'structural' definition of default and assume that default is triggered when a state variable reaches a default...

Basel regulators have received widespread criticism for failing to prevent two credit crises that hit the U.S. over the last two decades. Nonetheless, banks were considerably overcapitalized prior to the onset of the 2007–2009 subprime crisis compared to those which had undergone the...

In this study, we use a factor model in order to decompose sovereign Credit Default Swaps (CDS) spreads into default, liquidity, systematic liquidity and correlation components. By calibrating the model to sovereign CDSs and bonds we are able to present a better decomposition and a more accurate...