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Credit risk

About: Credit risk is a research topic. Over the lifetime, 18595 publications have been published within this topic receiving 382866 citations.


Papers
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Journal ArticleDOI
TL;DR: In this paper, the authors examined the relevance of modified audit opinions (MAO) in private debt contracting and found that loans issued in the year after an MAO are associated with higher interest spreads, fewer financial covenants, more general covenants and a higher likelihood of requiring collateral.

93 citations

Journal ArticleDOI
TL;DR: In this paper, the authors develop measures of comparability relevant to debt market participants based on the within-industry variability of Moody's adjustments to reported accounting numbers for the purposes of credit rating.
Abstract: Prior research shows that firms' financial statement comparability improves the accuracy of market participants' valuation judgments and thus may reduce firms' costs of capital. Distinct from prior research focusing on the equity market, we develop measures of comparability relevant to debt market participants based on the within-industry variability of Moody's adjustments to reported accounting numbers for the purposes of credit rating. We examine two sets of adjustments: (1) to the interest coverage ratio and (2) for non-recurring income items. We validate these comparability measures by providing evidence that greater comparability is associated with lower frequency and magnitude of split ratings by credit rating agencies. We predict and find that greater comparability is associated with: (1) lower estimated bid-ask spreads for traded bonds, (2) lower credit spreads for both bonds and five-year credit default swaps, and (3) a steeper one- to five-year credit default swap term structure. Our results are consistent with financial statement comparability reducing debt market participants' uncertainty about and pricing of firms' credit risk.

93 citations

Book ChapterDOI
01 Dec 2008

93 citations

Journal ArticleDOI
TL;DR: In this article, an explainable Artificial Intelligence model is proposed for credit risk management and, in particular, in measuring the risks that arise when credit is borrowed employing peer-to-peer lending platforms.
Abstract: The paper proposes an explainable Artificial Intelligence model that can be used in credit risk management and, in particular, in measuring the risks that arise when credit is borrowed employing peer to peer lending platforms. The model applies correlation networks to Shapley values so that Artificial Intelligence predictions are grouped according to the similarity in the underlying explanations. The empirical analysis of 15,000 small and medium companies asking for credit reveals that both risky and not risky borrowers can be grouped according to a set of similar financial characteristics, which can be employed to explain their credit score and, therefore, to predict their future behaviour.

93 citations

Posted Content
TL;DR: In this paper, the determinants of country risk premiums as measured by sovereign bond spreads are investigated using a panel of 30 emerging market economies from 1997 to 2007, and the results indicate that both fiscal and political factors matter for credit risk in emerging markets.
Abstract: Using a panel of 30 emerging market economies from 1997 to 2007, this paper investigates the determinants of country risk premiums as measured by sovereign bond spreads. Unlike previous studies, the results indicate that both fiscal and political factors matter for credit risk in emerging markets. Lower levels of political risk are associated with tighter spreads, while efforts at fiscal consolidation narrow credit spreads, especially in countries that experienced prior defaults. The composition of fiscal policy matters: spending on public investment contributes to lower spreads as long as the fiscal position remains sustainable and the fiscal deficit does not worsen.

93 citations


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Performance
Metrics
No. of papers in the topic in previous years
YearPapers
20251
2023343
2022729
2021799
2020915
2019921