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Corporate Credit Risk Premia

Berndt, Antje; Douglas, Rohan; Duffie, Darrell; Ferguson, Mark


We measure credit risk premia-prices for bearing corporate default risk in excess of expected default losses-using Markit CDS and Moody's Analytics EDF data. We find dramatic variation over time in credit risk premia, with peaks in 2002, during the global financial crisis of 2008-09, and in the second half of 2011. Even after normalizing these premia by expected default losses, median credit risk premia fluctuate over time by more than a factor of 10. Credit risk premia comove with...[Show more]

CollectionsANU Research Publications
Date published: 2018
Type: Journal article
Source: Review of Finance
DOI: 10.1093/rof/rfy002


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