In this book, two of America's leading economists provide the first integrated treatment of the
conceptual, practical, and empirical foundations for credit risk pricing and risk measurement …

Economic theory tells us that market and credit risks are intrinsically related to each other
and not separable. We describe the two main approaches to pricing credit risky instruments …

In this paper we take the task of motivating and exhibiting the potential of conditioning on
economywide state variables in improving the forecasting of the Credit Rating Transition …

This study examines the initial‐day and aftermarket price performance of corporate straight
debt IPOs. We find that IPOs of speculative grade debt are underpriced like equity IPOs …

This study examines the strength and causes of the January effect in the corporate bond
market. The findings support a relation between this anomaly and the small-firm effect. The …

We analyzed the conditional correlation between the returns of five assets (S&P 500,
investment grade bond, high-yield bond, crude oil and gold). The results obtained with the …

In this paper, we investigate the determinants of the Euro term structure of credit spreads.
More specifically, we analyze whether the sensitivity of credit spread changes to financial …

This paper seeks to identify the macroeconomic and financial factors that drive credit
spreads on bond indices in the US credit market. To overcome the idiosyncratic nature of …

This study examines the long-and short-run dynamics of the yields on noninvestment grade
indices. Utilizing cointegration techniques, the traditional yield spread model is found to be …

This study investigates the correlation and interdependence between and within the US and
Canadian corporate bond markets. The empirical framework adopted allows credit spreads …