The Effect of Systematic Default Risk on Credit Risk Premiums
This study examines whether systematic default risks affect a cross section of credit risk premiums. Using a structural framework, I derive a theoretical cross-sectional relationship, develop a testable hypothesis, and provide a method to estimate the systematic default risk. The empirical results o...
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| Format: | Article |
| Language: | English |
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MDPI AG
2019-10-01
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| Series: | Sustainability |
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| Online Access: | https://www.mdpi.com/2071-1050/11/21/6039 |