Author(s) / Editor(s): 
Ramo Gencay, Daniele Signori

Economic links, risk and stability

Octubre
2013

Counterparty risk is an important determinant of corporate credit spreads. However, there are only a few techniques available to isolate it from other factors. In this paper we describe a model of nancial networks that is suitable for the construction of proxies for counterparty risk. Using data on the U.S. supplier-customer network of public companies, we nd that, for each supplier, counterparties' leverage and jump risk are signicant determinants of corporate credit spreads. Our ndings are robust after controlling for several idiosyncratic, industry, and market factors.

This content has been translated into English for informational purposes. Upon any query regarding its interpretation or enforceability, the Spanish version shall be deemed official, and will prevail over the English version. The authors of specific texts such as working papers or articles select the language of publication; therefore, there might be cases in which the content may only be available in English.