scholarly journals Corporate Credit Risk Premia

2018 ◽  
Author(s):  
Antje Berndt ◽  
Rohan Douglas ◽  
Darrell Duffie ◽  
Mark Ferguson
Keyword(s):  
Credit Risk ◽  
Risk Premia ◽  
Corporate Credit

scholarly journals A Quantitative Analysis of Risk Premia in the Corporate Bond Market

2019 ◽  
Vol 13 (1) ◽  
pp. 3 ◽  
Author(s):  
Sara Cecchetti
Keyword(s):  
Quantitative Analysis ◽  
Credit Risk ◽  
European Central Bank ◽  
Risk Premia ◽  
Bond Market ◽  
Corporate Bond ◽  
Corporate Bond Market ◽  
European Central ◽  
Corporate Credit ◽  
Corporate Securities

Measures of corporate credit risk incorporate compensation for unpredictable future changes in the credit environment and compensation for expected default losses. Since the launch of purchases of government securities and corporate securities by the European Central Bank, it has been discussed whether the observed reduction in corporate credit risk was due to the decrease in risk aversion favored by the monetary easing or by expectations of lower losses due to corporate defaults. This work introduces a new methodology to break down the factors that drive corporate credit risk, namely the premium linked to cyclical and monetary conditions and that linked to the restructuring of the companies. Untangling these two components makes it possible to quantify the drivers of excess returns in the corporate bond market.

scholarly journals Corporate Credit Risk Premia

2018 ◽  
Vol 22 (2) ◽  
pp. 419-454 ◽  
Author(s):  
Antje Berndt ◽  
Rohan Douglas ◽  
Darrell Duffie ◽  
Mark Ferguson
Keyword(s):  
Credit Risk ◽  
Risk Premia ◽  
Corporate Credit

Corporate Credit Risk Premia

2017 ◽  
Author(s):  
Antje Berndt ◽  
Rohan Douglas ◽  
Darrell Duffie ◽  
Mark Ferguson
Keyword(s):  
Credit Risk ◽  
Risk Premia ◽  
Corporate Credit

Estimating Multi-Period Corporate Credit Risk - A Cash Flow Based Approach

2004 ◽  
Author(s):  
Hsien-Hsing Liao ◽  
Tsung-Kang Chen ◽  
Chia-Wu Lu
Keyword(s):  
Credit Risk ◽  
Cash Flow ◽  
Corporate Credit

scholarly journals CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP

2010 ◽  
Vol 13 (07) ◽  
pp. 1103-1129 ◽  
Author(s):  
STEFAN ANKIRCHNER ◽  
CHRISTOPHETTE BLANCHET-SCALLIET ◽  
ANNE EYRAUD-LOISEL
Keyword(s):  
Credit Risk ◽  
Existence And Uniqueness ◽  
Sufficient Conditions ◽  
Risk Premia ◽  
Contingent Claims ◽  
Quadratic Growth ◽  
Utility Preferences ◽  
Random Times ◽  
Uniqueness Theory

This paper is concerned with the determination of credit risk premia of defaultable contingent claims by means of indifference valuation principles. Assuming exponential utility preferences we derive representations of indifference premia of credit risk in terms of solutions of Backward Stochastic Differential Equations (BSDE). The class of BSDEs needed for that representation allows for quadratic growth generators and jumps at random times. Since the existence and uniqueness theory for this class of BSDEs has not yet been developed to the required generality, the first part of the paper is devoted to fill that gap. By using a simple constructive algorithm, and known results on continuous quadratic BSDEs, we provide sufficient conditions for the existence and uniqueness of quadratic BSDEs with discontinuities at random times.

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