Keyword

default risk

Description: Default risk is the possibility that a borrower or debt issuer will fail to meet required payment obligations, a concept in credit and financial risk analysis.

Primary topic: Credit Risk and Financial Regulations (21%)

OpenAlex ID: keywords/default-risk

The Pricing of Options and Corporate Liabilities

1973 · Fischer Black, Myron Scholes · Journal of Political Economy · 28,884

Common risk factors in the returns on stocks and bonds

1993 · Eugene F. Fama, Kenneth R. French · Journal of Financial Economics · 26,471

Credit Spreads and Business Cycle Fluctuations

2012 · Simon Gilchrist, Egon Zakrajšek · American Economic Review · 2,198

A Simple Approach to Valuing Risky Fixed and Floating Rate Debt

1995 · FRANCIS A. LONGSTAFF, EDUARDO S. SCHWARTZ · The Journal of Finance · 2,089

Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market

2004 · FRANCIS A. LONGSTAFF, SANJAY MITHAL, et al. · The Journal of Finance · 2,087

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Default Risk in Equity Returns

2004 · Maria Vassalou, Yuhang Xing · The Journal of Finance · 1,994

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Pricing Derivatives on Financial Securities Subject to Credit Risk

1995 · ROBERT A. JARROW, STUART M. TURNBULL · The Journal of Finance · 1,933

Environmental Externalities and Cost of Capital

2014 · Sudheer Chava · Management Science · 1,816

Predicting returns in the stock and bond markets

1986 · Donald B. Keim, Robert F. Stambaugh · Journal of Financial Economics · 1,711

A Markov Model for the Term Structure of Credit Risk Spreads

1997 · Robert A. Jarrow, David Lando, et al. · Review of Financial Studies · 1,475

Default Risk and Income Fluctuations in Emerging Economies

2007 · Emerging Economies, Cristina Arellano, et al. · 1,284

Why Does Stock Market Volatility Change Over Time?

1989 · G. William Schwert · The Journal of Finance · 1,209

Corporate Yield Spreads and Bond Liquidity

2007 · LONG CHEN, DAVID A. LESMOND, et al. · The Journal of Finance · 1,078

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The relationship between credit default swap spreads, bond yields, and credit rating announcements

2004 · John Hull, Mirela Predescu, et al. · Journal of Banking & Finance · 1,008

Trade Credit: Suppliers as Debt Collectors and Insurance Providers

2006 · Vicente Cuñat · Review of Financial Studies · 976

Machine learning models and bankruptcy prediction

2017 · Flavio Barboza, Herbert Kimura, et al. · Expert Systems with Applications · 947

DebtRank: Too Central to Fail? Financial Networks, the FED and Systemic Risk

2012 · Stefano Battiston, Michelangelo Puliga, et al. · Scientific Reports · 914

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Corporate disclosure quality and the cost of debt.

1998 · Partha Sengupta · The Accounting Review · 886

Trade Credit and Informational Asymmetry

1987 · JANET KIHOLM SMITH · The Journal of Finance · 879

Bank income structure and risk: An empirical analysis of European banks

2007 · Laetitia Lepetit, Emmanuelle Nys, et al. · Journal of Banking & Finance · 840

Country-level institutions, firm value, and the role of corporate social responsibility initiatives

2016 · Sadok El Ghoul, Omrane Guedhami, et al. · Journal of International Business Studies · 822

Carbon Risk, Carbon Risk Awareness and the Cost of Debt Financing

2016 · Juhyun Jung, Kathleen Herbohn, et al. · Journal of Business Ethics · 773

Efficiency, Equilibrium, and Asset Pricing with Risk of Default

2000 · Fernando Alvarez, Urban J. Jermann · Econometrica · 729

Capital structure, credit risk, and macroeconomic conditions

2006 · Dirk Hackbarth, Jianjun Miao, et al. · Journal of Financial Economics · 678

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Reputation in Auctions: Theory, and Evidence from e Bay

2006 · Daniel Houser, John Wooders · Journal of Economics & Management Strategy · 677

Works count: 10,780

Citation count: 207,300