Credit risk correlation and the cost of bank loans
研究发现，借款企业的信用风险相关性越高，银行收取的贷款利差也越高，且该效应在投资级企业、信贷紧缩时期以及高展期风险企业中更显著。
Abstract Using several approaches to compute firms’ credit risk correlation, we provide robust empirical evidence that lenders charge higher loan spreads to borrowers with higher credit risk correlation. Consistent with the theoretical literature, we find that the credit risk correlation effect is concentrated in investment‐grade firms, driven by tightening lending conditions, and more pronounced for firms with higher rollover risk. We also show that banks whose borrowers have higher average credit risk correlation, have greater default risk themselves. Overall, our results indicate that banks view credit risk correlation as an important risk factor.