“Return-free risk”? Market pricing in credit risk markets

Martin Scheicher

Research Bulletin, 2010, vol. 11, 7-8

Abstract: Credit risk markets have been at the epicentre of the recent financial crisis, and their collapse led to major distress in the banking system. Drawing on recent research on the valuation of credit-risky assets, we discuss some of the key factors behind the sizeable repricing of credit risk. JEL Classification: E0, E5

Keywords: credit risk; banking system (search for similar items in EconPapers)
Date: 2010-11
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbrbu:2010:0011:2

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