Corporate credit ratings, banking fragility, and sovereign credit risk

Patricio Valenzuela

Finance Research Letters, 2025, vol. 82, issue C

Abstract: Using corporate credit rating data and a new metric of the expected joint loss of the banking sector conditional on a systemic event (JLoss), this study documents a positive association between corporate credit risk and domestic banking fragility. It also documents that the relationship between corporate and sovereign credit ratings amplifies during periods of banking distress.

Keywords: Banking fragility; Corporate credit risk; Credit ratings; Sovereign risk (search for similar items in EconPapers)
JEL-codes: G1 G2 G3 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:82:y:2025:i:c:s1544612325008700

DOI: 10.1016/j.frl.2025.107611

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