Skip navigation
Skip navigation

Corporate Credit Risk Premia

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

Description

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
URI: http://hdl.handle.net/1885/219232
Source: Review of Finance
DOI: 10.1093/rof/rfy002

Download

File Description SizeFormat Image
01_Berndt_Corporate_Credit_Risk_Premia_2018.pdf1.03 MBAdobe PDF    Request a copy


Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  19 May 2020/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator