Kim, Nelson and Startz (1991) find that distortions surrounding the Great Depression and World War II cause a much different time series for financial market measures, although they do not study default risk
First, each of the agency problems is exacerbated when default risk
is greatest, implying that riskier debt offerings are more likely to include a call provision.
States, municipalities and other political subdivisions issue general obligation bonds, which-although backed by the issuer's full faith and credit-have an increased level of default risk
AA+' National Ratings denote expectations of very low default risk
relative to other issuers or obligations in the same country.
More harmful still is that a very strict definition of a naked sale would keep investors who finance public investment or companies that enter into contracts with sovereign nations or with state-owned companies from hedging the default risk
of their counterparties.
The UFA Default Risk
Index for the third quarter of 2010 dropped to a score of 184--half the peak level set in 2007, explained Dennis Capozza, the Dale Dykema Professor of Business Administration in the Ross School of Business at the University of Michigan, Ann Arbor.
Our UFA default risk
indices, which assess these future risks at the ZIP code level for loans originated today, are an example of information credit unions can use to reduce risk and serve their members better.
The central bank said commercial lending rates are unlikely to fall because banks wrongly perceive that the loan default risk
is still high.
Are macroeconomic cycles themselves or default risk
premia, market liquidity, and even market risk significant determinants of yield spreads?
The multifactor model is an extension of Stone's model  to include economy-wide and banking industry-specific default risk
variables in addition to proxies for changes in both short-term and long-term interest rates.
This approach was generalized by Sundaresan  who assumed a stochastic process to characterize future interest rate movements in order to show how default risk
impacts swap valuation.
Credit or default risk
, simply stated, is the possibility that the investor's principal and/or interest will not be returned when due.