We examine recovery rates of defaulted bonds in the US corporate bond market, based on a complete set of traded prices and volumes. A study of the trading microstructure around various types of default events is provided. We document temporary price pressure with high trading volumes on the...

We examine the recovery rates of defaulted bonds in the US corporate bond market over the time period from 2002 to 2010, based on a complete set of traded prices and volumes. A detailed study of the microstructure of trading in defaulted bonds around various types of default events is provided....

We investigate whether liquidity is an important price factor in the US corporate bond market. In particular, we focus on whether liquidity eects are more pronounced in periods of nancial crises, especially for bonds with high credit risk, using a unique data set covering more than 20,000 bonds,...

We estimate the response of corporate bond credit spreads to three exogenous shocks: oil supply, investment-specific technology, and government spending. Credit spreads respond significantly to these macroeconomic shocks; the response is similar in magnitude, opposite in sign, and with a slight...

We suggest a new parametric framework to assess the accuracy of estimated default probabilities (PDs). Whereas the traditional methods to validate credit rating systems focus primarily on the discriminatory power, recent advances in credit risk management and banking regulation has shifted the...

In this study, we empirically analyze the determinants of heterogeneity in rating assessments across different segments of the European loan market. We conduct a benchmarking analysis using rating information on European corporate obligors from nine major Austrian banks that have a large share...