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Essays on credit risk

Borghi, Matteo ; Barone-Adesi, Giovanni (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2013 ; 2013ECO005.

The work investigates two major topics: the presence of a systematic and an idiosyncratic component in CDS spreads and the credit spread puzzle. We verify that a systematic factor is priced in the cross-section of CDS returns. We also notice that the systematic component of risk increases after the financial crisis. We finally verify that the fraction of systematic risk is not the same in...