Using dealer's quotes and transactions prices on straight industrial bonds, we investigate
the determinants of credit spread changes. Variables that should in theory determine credit …

Variables that in theory determine credit spreads have limited explanatory power in existing
empirical work on corporate bond data. We investigate the linear relationship between …

In the recent financial crisis we saw liquidity in the stock market drying up as a precursor to
the crisis in the real economy. We show that such effects are not new; in fact, we find a …

We study corporate bond default rates using an extensive new data set spanning the 1866–
2008 period. We find that the corporate bond market has repeatedly suffered clustered …

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 …

We propose a dynamically consistent framework that allows joint valuation and estimation of
stock options and credit default swaps written on the same reference company. We model …

We revisit a method used by Das et al.(2007)(DDKS) who jointly test and reject a
specification of firm default intensities and the doubly stochastic assumption in intensity …

We propose a panel data model of price discovery. We find that the stock market contributes
to price discovery in most sectors while the Credit Default Swap (CDS) market contributes to …

Using sovereign CDS spreads and currency option data for Mexico and Brazil, we document
that CDS spreads covary with both the currency option implied volatility and the slope of the …

In this paper, we suggest a deterministic approach for modelling credit risk time series even
in distressed periods (including COVID-19). We examine the Moody's Seasoned Aaa …