On Bounding Credit-Event Risk Premia
在一般均衡框架中引入市场组合同时下跌的传染渠道，发现信用事件风险溢价上限仅几个基点，而传染溢价更大，实证表明信用事件风险溢价低于1个基点。
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.