Corporate credit ratings, banking fragility, and sovereign credit risk

Patricio Valenzuela

doi:10.1016/j.frl.2025.107611

Corporate credit ratings, banking fragility, and sovereign credit risk

Patricio Valenzuela

Research output: Contribution to journal › Article › peer-review

Abstract

Using corporate credit rating data and a new metric of the expected joint loss of the banking sector conditional on a systemic event (JLoss), this study documents a positive association between corporate credit risk and domestic banking fragility. It also documents that the relationship between corporate and sovereign credit ratings amplifies during periods of banking distress.

Original language	English
Article number	107611
Journal	Finance Research Letters
Volume	82
DOIs	https://doi.org/10.1016/j.frl.2025.107611
State	Published - Sep 2025

Bibliographical note

Publisher Copyright:
© 2025 Elsevier Inc.

Keywords

Banking fragility
Corporate credit risk
Credit ratings
Sovereign risk

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10.1016/j.frl.2025.107611

Cite this

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title = "Corporate credit ratings, banking fragility, and sovereign credit risk",

abstract = "Using corporate credit rating data and a new metric of the expected joint loss of the banking sector conditional on a systemic event (JLoss), this study documents a positive association between corporate credit risk and domestic banking fragility. It also documents that the relationship between corporate and sovereign credit ratings amplifies during periods of banking distress.",

keywords = "Banking fragility, Corporate credit risk, Credit ratings, Sovereign risk",

author = "Patricio Valenzuela",

note = "Publisher Copyright: {\textcopyright} 2025 Elsevier Inc.",

year = "2025",

month = sep,

doi = "10.1016/j.frl.2025.107611",

language = "English",

volume = "82",

journal = "Finance Research Letters",

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N2 - Using corporate credit rating data and a new metric of the expected joint loss of the banking sector conditional on a systemic event (JLoss), this study documents a positive association between corporate credit risk and domestic banking fragility. It also documents that the relationship between corporate and sovereign credit ratings amplifies during periods of banking distress.

AB - Using corporate credit rating data and a new metric of the expected joint loss of the banking sector conditional on a systemic event (JLoss), this study documents a positive association between corporate credit risk and domestic banking fragility. It also documents that the relationship between corporate and sovereign credit ratings amplifies during periods of banking distress.

KW - Banking fragility

KW - Corporate credit risk

KW - Credit ratings

KW - Sovereign risk

UR - https://www.scopus.com/pages/publications/105005782385

UR - https://www.mendeley.com/catalogue/6a229fdb-94a2-35f1-a476-2fa82d230c3a/

U2 - 10.1016/j.frl.2025.107611

DO - 10.1016/j.frl.2025.107611

M3 - Article

AN - SCOPUS:105005782385

SN - 1544-6123

VL - 82

JO - Finance Research Letters

JF - Finance Research Letters

M1 - 107611

ER -

Corporate credit ratings, banking fragility, and sovereign credit risk

Abstract

Bibliographical note

Keywords

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