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“Return-free risk”? Market pricing in credit risk markets

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  • Martin Scheicher

Abstract

Credit risk markets have been at the epicentre of the recent financial crisis, and their collapse led to major distress in the banking system. Drawing on recent research on the valuation of credit-risky assets, we discuss some of the key factors behind the sizeable repricing of credit risk. JEL Classification: E0, E5

Suggested Citation

  • Martin Scheicher, 2010. "“Return-free risk”? Market pricing in credit risk markets," Research Bulletin, European Central Bank, vol. 11, pages 7-8.
    • Handle: RePEc:ecb:ecbrbu:2010:0011:2
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    File URL: http://www.ecb.europa.eu/pub/pdf/other/researchbulletin11en.pdf
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    References listed on IDEAS

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    More about this item

    Keywords

    credit risk; banking system;

    JEL classification:

    • E0 - Macroeconomics and Monetary Economics - - General
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit

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