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Showing 1 - 10 of 61 results for 'Credit'

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Working Paper

Credit Implied Volatility

March 10, 2015 - Bryan T. Kelly Gerardo Manzo Diogo Palhares

This paper introduces the concept of a credit implied volatility surface. The credit implied volatility (CIV) can be interpretable as risk-neutral asset volatility of the underlying firm—the slope of the CIV term structure is negative in downturns and positive during expansions.

Journal Article

The Credit Risk Premium

January 15, 2017 - Scott A. Richardson

Using data spanning 80 years in the U.S. and nearly 20 years in Europe, the authors of this paper find what they characterize as strong evidence of credit risk premium after correctly adjusting for term risk.

Working Paper

Asset-Measurement Uncertainty and Credit-Term Structure

April 5, 2011 - Navneet Arora Scott A. Richardson Irem Tuna

Studying the spike in financial market volatility in 2007, this paper tests whether credit investors’ uncertainty about a company’s asset values affects short-term credit spreads and the underlying credit term-structure.

Journal Article

How Sovereign Is Sovereign Credit Risk?

April 1, 2011 - Francis A. Longstaff Jun Pan Lasse H. Pedersen Kenneth J. Singleton

Is sovereign credit risk primarily a country-specific type of risk, or is it driven by global macroeconomic forces external to the country? Understanding the nature of sovereign credit risk is of key importance given the large and rapidly increasing size of the sovereign debt markets.

Journal Article

Credit Markets and Financial Information

September 1, 2011 - Stephen Lok Scott A. Richardson

Lakshmanan Shivakumar, Oktay Urcan, Florin P.

Journal Article

Sustainable Systematic Credit

September 7, 2021 - Peter Diep Lukasz Pomorski Scott A. Richardson

Interest in sustainable investing is now expanding into fixed income. This paper assesses how measures of sustainability/ESG might be relevant for corporate bonds and analyzes how ESG measures can be incorporated into an investment process to achieve the joint object of maximizing risk-adjusted returns and a sustainability target.

Option-Based Credit Spreads

2015 FIRST PRIZE Christopher L. Culp, Ph.D., Yoshio Nozawa, Ph.D., and Pietro Veronesi, Ph.D.

Journal Article

Asset Reliability and Security Prices Evidence From Credit Markets

March 3, 2014 - Navneet Arora Scott A. Richardson Irem Tuna

This paper explores the relation between the reliability of an enterprise’s accounting and its security prices.

Data Set

Credit Risk Premium: Preliminary Paper Data

February 27, 2018

This data set is related to “Credit Risk Premium: Its Existence and Implications for Asset Allocation." Using data from both cash bond markets (1927–2014) and synthetic CDS markets (2004–2014), we document evidence of a sizable credit risk premium.

Working Paper

Cash-Flow Maturity and Risk Premia in CDS Markets

November 12, 2014 - Diogo Palhares

We study the risk adjusted returns of credit default swaps of different maturities to learn more about the impact of higher sensitivities to credit fundamentals.