Peña, Juan IgnacioForte, Santiago2006-11-072006-11-072006-05https://hdl.handle.net/10016/125This paper presents a procedure for computing homogeneous measures of credit risk from stocks, bonds and CDSs. The measures are based on bond spreads (BS), CDS spreads (CDS) and implied stock market credit spreads (ICS). We compute these measures for a sample of North American and European firms and find that in most cases, the stock market leads the credit risk discovery process with respect to bond and CDS markets.703744 bytesapplication/pdfengworking paperEmpresaopen accesswb063310