We present an integrated framework incorporating both exogenous liquidity risk in the secondary corporate bond market … and volatility risk in the dynamics of asset value in debt rollover models. Using an innovative theoretical approach we … values from empirical studies that volatility risk, together with deteriorating bond market liquidity, decrease both debt and …

.Empirical results show that (i) Indonesia, followed by China and Mexico, are the main transmitters of sovereign credit risk volatility …. (ii) Among global factors, the volatility index (VIX), economic policy uncertainty (EPU), and global political risk (GPR …, policymakers, and researchers, emphasizing the importance of risk-aware investment strategies and cautious policy formulation in …