Using hand-collected data on purchases of D&O insurance by Chinese listed firms for the period from 2008 to 2019, we empirically find that D&O insurance negatively associates with credit spreads. The negative relationship still holds after conducting a series of robustness tests and is not...

Recent empirical evidence on the cross-country synchronization of credit spreads in response to US monetary policy shocks has led to the notion of an ‘international credit channel' of US monetary policy. This paper provides novel evidence on the existence of an international credit channel for...

This paper argues that tax liabilities explain a large fraction of observed short-maturity investment-grade (IG) spreads, but credit-event premia do not. First, we extend Duffie and Lando (2001) by permitting management to issue both debt and equity. Rather than defaulting, managers of IG firms...

We consider a classical discrete term-structure model for the joint modelling of risk-free and defaultable bonds (also known under its historical name, defaultable LIBOR market model). We model the risk-free forward rate Lᵢ and the defaultable forward-rate Lᵈᵢ.In the usual specification...

The motivation of this study was to construct an empirical test to observe whether liquidity in Fixed Income and Credit Derivative markets have an effect on the theoretical relationship that link these markets. The test was performed taking daily quotes for 4,943 bonds and Credit Default Swap...