Corporate Credit Risk Premia

Rohan Douglas, Antje Berndt, Darrell Duffie and Mark Ferguson
Additional contact information
Rohan Douglas: Quantifi, Inc
Antje Berndt: Australian National University
Mark Ferguson: ?

Research Papers from Stanford University, Graduate School of Business

Abstract: We measure credit risk premia, meaning the price for bearing corporate default risk in excess of expected default losses, using Markit CDS and Moody's Analytics EDF data. We find dramatic variation over time in credit risk premia, with peaks in 2002, during the global financial crisis of 2008-09, and in the second half of 2011. These risk premia comove with economic indicators, even after controlling for variation in expected default losses, with higher premia per unit of expected loss during times of market-wide distress. Countercyclical variation of premia-to-expected-loss ratios is more pronounced for investment-grade issuers than for high-yield issuers.

JEL-codes: G12 G13 G22 G24 (search for similar items in EconPapers)
Date: 2017-11
New Economics Papers: this item is included in nep-cfn and nep-rmg
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Citations: View citations in EconPapers (5)

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Related works:
Journal Article: Corporate Credit Risk Premia (2018)
Working Paper: Corporate Credit Risk Premia (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:ecl:stabus:repec:ecl:stabus:3617

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