| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w15733 |
| 来源ID | Working Paper 15733 |
| Is Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs. | |
| Pierre Collin-Dufresne; Robert S. Goldstein; Jean Helwege | |
| 发表日期 | 2010-02-11 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | Empirical tests of reduced form models of default attribute a large fraction of observed credit spreads to compensation for jump-to-default risk. However, these models preclude a "contagion-risk'' channel, where the aggregate corporate bond index reacts adversely to a credit event. In this paper, we propose a tractable model for pricing corporate bonds subject to contagion-risk. We show that when investors have fragile beliefs (Hansen and Sargent (2009)), contagion premia may be sizable even if P-measure contagion across defaults is small. We find empirical support for contagion in bond returns in response to large credit events. Model calibrations suggest that while contagion risk premia may be sizable, jump-to-default risk premia have an upper bound of a few basis points. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w15733 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/573407 |
| 推荐引用方式 GB/T 7714 | Pierre Collin-Dufresne,Robert S. Goldstein,Jean Helwege. Is Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs.. 2010. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w15733.pdf（255KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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