We investigate what accounting information is important for explaining the credit risk for U.S. bank holding … default swap (CDS) spreads. Consistent with industry experience, BHCs with more real estate loans do have higher credit risk … association between risky assets-backed securities (ABS) and CDS spreads. Our results confirm real estate risk as a major risk for …

In this paper, I analyze the role of credit risk in explaining cross-sectional stock returns. I utilize Credit Default … Swap (CDS) spreads to construct a credit risk factor-mimicking portfolio, which I label as Distressed-minus-Stable (DMS … explaining stock returns across low, medium and high B/M portfolios. Second, DMS is a more direct measure of credit risk. The …

This study calibrates the term structure of risk premia before and during the 2007/2008 financial crisis using a new … calibration approach based on credit default swaps. The risk premium term structure was flat before the crisis and downward … sloping during the crisis. The instantaneous risk premium increased significantly during the crisis, whereas the long-run mean …