This article presents a framework for studying the role of recovery on defaultable debt prices
(for a wide class of processes describing recovery rates and default probability). These debt …

This paper proposes and empirically investigates a family of credit risk models driven by a
two‐factor structure for the short interest rate and an additional factor for firm‐specific distress. …

From a large array of economic and financial data series, this paper identifies three
fundamental risk dimensions underlying an economy: inflation, real output growth, and financial …

This article explores the expectations of the credit market by developing a parsimonious
default swap model, which is versatile enough to disentangle default probability from the …

We study expectations of credit market and default risk premium implicit in credit default swap
prices in the case of Argentine default. We find that the default risk premium is substantial …

From a credit risk perspective, little is known about the distress factors-economy-wide or firm-specific-that
are important in explaining variations in defaultable coupon yields. This paper …

This article studies the role of recovery on defaultable debt prices in alternative recovery risk
models. The empirical results suggest two central findings. First, the recovery concept that …

We examine the effects of liquidity, default and personal taxes on the relative yields of
Treasuries and municipals using a generalized model with liquidity risk. The municipal yield …

This article explores expectations of credit market and default risk premium implicit in credit
default swap prices in the case of Argentine default. We find that default risk premium is …

This paper proposes and empirically investigates a family of credit risk models driven by a
two-factor structure for the short-interest rate and an additional third factor for firm-specific …