On Bounding Credit-Event Risk Premia

• 成果类型: Article
• 署名作者: Bai, Jennie; Collin-Dufresne, Pierre; Goldstein, Robert S.; Helwege, Jean
• 署名单位: Georgetown University; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; National Bureau of Economic Research; University of Minnesota System; University of Minnesota Twin Cities; University of California System; University of California Riverside
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhv022
• 发表日期: 2015
• 页码: 2608
• 关键词: CORPORATE YIELD SPREADS; term structure; DEFAULTABLE SECURITIES; Financial contagion; CORRELATED DEFAULT; empirical-analysis; COUNTERPARTY RISK; capital structure; equity premium; interest-rates

摘要

Reduced-form models of default that attribute a large fraction of credit spreads to compensation for credit-event risk typically preclude the most plausible economic justification for such risk to be priced, namely, a contemporaneous drop in the market portfolio. When this contagion channel is introduced within a general equilibrium framework for an economy comprising a large number of firms, credit-event risk premia have an upper bound of a few basis points, and are dwarfed by the contagion premium. We provide empirical evidence that indicates credit-event risk premia are less than 1 bp, but contagion risk premia are significant.