Next Article in Journal
The Impacts of Selling Expense Structure on Enterprise Growth in Large Enterprises: A Study from Vietnam
Next Article in Special Issue
Credit Spreads, Business Conditions, and Expected Corporate Bond Returns
Previous Article in Journal
Managing Shariah Non-Compliance Risk via Islamic Dispute Resolution
Previous Article in Special Issue
Impact of Readability on Corporate Bond Market
Open AccessArticle

A Quantitative Analysis of Risk Premia in the Corporate Bond Market

Directorate General for Economics, Statistics and Research, Bank of Italy, 00184 Rome, Italy
J. Risk Financial Manag. 2020, 13(1), 3; https://doi.org/10.3390/jrfm13010003
Received: 19 November 2019 / Revised: 10 December 2019 / Accepted: 15 December 2019 / Published: 20 December 2019
(This article belongs to the Special Issue Corporate Debt)
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. View Full-Text
Keywords: bond excess return; credit default swap; distress risk premium; expected default frequency; jump-at-default risk premium bond excess return; credit default swap; distress risk premium; expected default frequency; jump-at-default risk premium
Show Figures

Figure 1

MDPI and ACS Style

Cecchetti, S. A Quantitative Analysis of Risk Premia in the Corporate Bond Market. J. Risk Financial Manag. 2020, 13, 3.

Show more citation formats Show less citations formats
Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Article Access Map by Country/Region

1
Back to TopTop