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The Credit Spread Puzzle
10 references·16 citing·43 second hop
The Credit Spread Puzzle (2012)The Credit Spread PuzzleIs Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs. (2010)Is Credit Event Risk Priced? …The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications* (2005)The Link between Default and …Is Default Event Risk Priced in Corporate Bonds? (2004)Is Default Event Risk Priced …Credit Risk: Pricing, Measurement, and Management (2003)Credit Risk: Pricing, Measure…Credit Risk : Pricing, Measurement, and Management (2003)Credit Risk : Pricing, Measur…The Determinants of Credit Spread Changes (2001)The Determinants of Credit Sp…Explaining the Rate Spread on Corporate Bonds (2001)Explaining the Rate Spread on…Corporate Bond Trading Costs: A Peek Behind the Curtain (2001)Corporate Bond Trading Costs:…Stability of rating transitions (2000)Stability of rating transitio…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Is the Credit Spread Puzzle a Myth? (2018)Is the Credit Spread Puzzle a…Macroeconomic Conditions and Credit Default Swap Spread Changes (2017)Macroeconomic Conditions and …The relationship between risk-neutral and actual default probabilities: the credit risk premium (2016)The relationship between risk…Credit and liquidity in interbank rates: A quadratic approach (2016)Credit and liquidity in inter…Credit and Liquidity in Interbank Rates: A Quadratic Approach (2013)Credit and Liquidity in Inter…Bond Prices, Default Probabilities and Risk Premiums (2012)Bond Prices, Default Probabil…The Dynamic Pricing of Sovereign Risk in Emerging Markets: Fundamentals and Risk Aversion (2011)The Dynamic Pricing of Sovere…Firm Reputation and the Cost of Debt Capital (2011)Firm Reputation and the Cost …A Framework for Assessing the Systemic Risk of Major Financial Institutions (2009)A Framework for Assessing the…Interpreting sovereign spreads (2007)Interpreting sovereign spreadsCredit default swap prices as risk indicators of listed German banks (2007)Credit default swap prices as…Cdo Rating Methodology: Some Thoughts on Model Risk and its Implications (2007)Cdo Rating Methodology: Some …A ratings‐based approach to measuring sovereign risk (2007)A ratings‐based approach to m…Do Market-Based Indicators Anticipate Rating Agencies? Evidence for International Banks (2006)Do Market-Based Indicators An…Structured Finance: Complexity, Risk and the Use of Ratings (2005)Structured Finance: Complexit…Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model (2005)Explaining the Level of Credi…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Discretion versus policy rules in practice (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)A General Formula for Valuing Defaultable Securities (2004)CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS (2007)Systemic Risk: What Defaults Are Telling Us (2009)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Price, trade size, and information in securities markets (1987)Liquidity and Market Structure (1988)The Declining Credit Quality of U.S. Corporate Debt: Myth or Reality? (1998)Liquidity in Asset Markets With Search Frictions (2009)Corporate Social Responsibility: Is it Rewarded by the Corporate Bond Market? A Critical Note (2010)Capital Commitment and Illiquidity in Corporate Bonds (2018)A Theory of the Term Structure of Interest Rates (1985)Equity Volatility and Corporate Bond Yields (2003)Corporate Yield Spreads and Bond Liquidity (2007)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)The Pricing of Options and Corporate Liabilities (1973)Prospect Theory and Asset Prices (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Credit Spreads and Business Cycle Fluctuations (2012)VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)Modeling Term Structures of Defaultable Bonds (1999)Risk Assessment for Banking Systems (2006)Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads (2008)The Asset Redeployability Channel: How Uncertainty Affects Corporate Investment (2016)Analyzing rating transitions and rating drift with continuous observations (2002)Ratings migration and the business cycle, with application to credit portfolio stress testing (2002)How rating agencies achieve rating stability (2004)How Profitable Is Capital Structure Arbitrage? (2006)Macroeconomic Dynamics and Credit Risk: A Global Perspective (2006)Safer ratios, riskier portfolios: Banks׳ response to government aid (2014)Credit Risk Modeling (2004)Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure (2010)Regulatory pressure and fire sales in the corporate bond market (2011)Rating the rating agencies: Anticipating currency crises or debt crises? (2004)Nonparametric estimation of conditional VaR and expected shortfall (2008)Daily pricing of emerging market sovereign CDS before and during the global financial crisis (2012)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 2001The Determinants of Credit Spread Changes2,253 cited
  • 2001Explaining the Rate Spread on Corporate Bonds1,580 cited
  • 2005The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications*759 cited
  • 2003Credit Risk : Pricing, Measurement, and Management587 cited
  • 2004Is Default Event Risk Priced in Corporate Bonds?566 cited
  • 2000Stability of rating transitions562 cited
  • 2001Corporate Bond Trading Costs: A Peek Behind the Curtain343 cited
  • 2003Credit Risk: Pricing, Measurement, and Management200 cited
  • 2010Is Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs.181 cited

Cited by

  • 2011The Dynamic Pricing of Sovereign Risk in Emerging Markets: Fundamentals and Risk Aversion72 cited
  • 2012Bond Prices, Default Probabilities and Risk Premiums71 cited
  • 2018Is the Credit Spread Puzzle a Myth?60 cited
  • 2007A ratings‐based approach to measuring sovereign risk60 cited
  • 2007Cdo Rating Methodology: Some Thoughts on Model Risk and its Implications57 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2005Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model50 cited
  • 2007Interpreting sovereign spreads47 cited
  • 2009A Framework for Assessing the Systemic Risk of Major Financial Institutions45 cited
  • 2006Do Market-Based Indicators Anticipate Rating Agencies? Evidence for International Banks41 cited
  • 2005Structured Finance: Complexity, Risk and the Use of Ratings38 cited
  • 2007Credit default swap prices as risk indicators of listed German banks31 cited
  • 2016The relationship between risk-neutral and actual default probabilities: the credit risk premium30 cited
  • 2016Credit and liquidity in interbank rates: A quadratic approach24 cited
  • 2013Credit and Liquidity in Interbank Rates: A Quadratic Approach21 cited
  • 2017Macroeconomic Conditions and Credit Default Swap Spread Changes20 cited
  • 2011Firm Reputation and the Cost of Debt Capital20 cited