stock crash risk is supported by multiple approaches, including propensity score matching and entropy balancing analysis …

concentration of collateral bonds' risk premia in spreads of non-equity tranches. This illustrates limitations of the rating … methodologies, which are solely based on estimates of real-world payoff prospects and thus do not capture risk premia. We also show …

We examine what are common factors that determine systematic credit risk and estimate and interpret the common risk …, this study finds that the eigenstructures across the three subperiods are distinct and the determinants of risk factors … factor models. -- credit default swaps ; common factors ; credit risk …

Over the past few years the CDS market's role has evolved from mostly providing default protection towards credit risk … (default-free) risk-free benchmark (i.e. bearing interest rate risk only) to sovereign debt as a credit risk asset. Therefore … allocation to risk management. This implies that some policy issues are not necessarily and exclusively related to the CDS market …