BIBFRAME Work

Title

Credit risk and disaster risk

Type

• Text
• Monograph

Contribution

• Gourio, François (author )
• National Bureau of Economic Research (contributor)

Language

• English

Classification

LCC: HB1 (Assigner: dlc) (Status: used by assigner)

Content

• text

Supplementary content

• bibliography

Summary

"Corporate credit spreads are large, volatile, countercyclical, and significantly larger than expected losses, but existing macroeconomic models with financial frictions fail to reproduce these patterns, because they imply small and constant aggregate risk premia. Building on the idea that corporate debt, while safe in normal times, is exposed to the risk of economic depression, this paper embeds a trade-off theory of capital structure into a real business cycle model with a small, time-varying risk of large economic disaster. This simple feature generates large, volatile and countercyclical credit spreads as well as novel business cycle implications. In particular, financial frictions substantially amplify the effect of shocks to the disaster probability"--National Bureau of Economic Research web site.

Authorized Access Point

Gourio, François. Credit risk and disaster risk

Admin Metadata

• Date: 2026-09-11T20:22:40.814727+00:00
• Agent: cbc
• Status: c
• Derived from: 16883823

Admin Metadata

• Date: 2026-09-11
• Cataloger id: Unknown
• Description level: http://id.loc.gov/ontologies/bibframe-2-6-0/
• Description language: eng
• Description authentication: pcc