E-viri
PDF
Recenzirano
Odprti dostop
-
Bai, Jennie; Collin-Dufresne, Pierre; Goldstein, Robert S.; Helwege, Jean
The Review of financial studies, 09/2015, Letnik: 28, Številka: 9Journal Article
Reduced-form models of default that attribute a large fraction of credit spreads to compensation for credit-event risk typically preclude the most plausible economic justification for such risk to be priced, namely, a contemporaneous drop in the market portfolio. When this "contagion" channel is introduced within a general equilibrium framework for an economy comprising a large number of firms, credit-event risk premia have an upper bound of a few basis points, and are dwarfed by the contagion premium. We provide empirical evidence that indicates credit-event risk premia are less than 1 bp, but contagion risk premia are significant.
