Arbeitspapier
On bounding credit event risk premia
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 contagious response of the market portfolio during the credit event. When this channel is introduced within a general equilibrium framework for an economy comprised of a large number of firms, credit event risk premia have an upper bound of just a few basis points and are dwarfed by the contagion premium. We provide empirical evidence supporting the view that credit event risk premia are minuscule.
- Sprache
-
Englisch
- Erschienen in
-
Series: Staff Report ; No. 577
- Klassifikation
-
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
General Financial Markets: General (includes Measurement and Data)
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bai, Jennie
Collin-Dufresne, Pierre
Goldstein, Robert S.
Helwege, Jean
- Ereignis
-
Veröffentlichung
- (wer)
-
Federal Reserve Bank of New York
- (wo)
-
New York, NY
- (wann)
-
2012
- Handle
- Letzte Aktualisierung
-
22.09.2024, 00:00 MESZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Bai, Jennie
- Collin-Dufresne, Pierre
- Goldstein, Robert S.
- Helwege, Jean
- Federal Reserve Bank of New York
Entstanden
- 2012
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