This book, based on the author's Clarendon Lectures in Finance, examines the empirical behaviour of corporate default risk. A new and unified statistical method

public corporations since 1980.

Extracting information from daily CDS spreads, we propose a measure of correlated default risk, which we show is a meaningful predictor of bankruptcy clusters.

This book explains how a proper credit risk management framework enables banks to identify, assess and manage the risk proactively.

Currency mismatches in corporate balance sheets have been singled out as an important factor underlying the severity of recent financial crises. We propose seve