In this study, we use a factor model in order to decompose sovereign Credit Default Swaps (CDS)
spreads into default, liquidity, systematic liquidity and correlation components. By …

Basel regulators have received widespread criticism for failing to prevent two credit crises
that hit the US over the last two decades. Nonetheless, banks were considerably …

A paper provides a framework for the valuation of defaultable bonds in a stochastic interest
rate environment. Default occurs the first time a signaling process reaches a certain lower …

We investigate how shocks to the reputation of credit rating agencies and the subsequent
introduction of stricter regulation affect investors’ reaction to rating signals. We focus on three …

The availability of credit insurance via credit default swaps has been closely associated with
the emergence of empty creditors. We empirically investigate this issue by looking at the …

In this article we analyze the slope of the term structure of credit spreads. We investigate the
explanatory role of interest rate, market, and idiosyncratic equity variables that the recent …

In this paper we present a valuation model that combines features of both the structural and
reduced-form approaches for modelling default risk. We maintain the cause and effect or ‘…

This paper derives analytical solutions for defaultable bonds when the underlying interest
rates follow a mean reverting square-root process. The default event occurs in an expected or …

Structural models of default establish a relation across the fair values of various asset classes
(equity, bonds, credit derivatives) referring to the same company. In most circumstances …

In this study, we focus on the dynamic properties of the risk-neutral liquidity risk premium
specific to the sovereign credit default swap (CDS) and bond markets. We show that liquidity …