Corporate Credit Risk Premia
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]
|Collections||ANU Research Publications|
|Source:||Review of Finance|
|01_Berndt_Corporate_Credit_Risk_Premia_2018.pdf||1.03 MB||Adobe PDF||Request a copy|
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