Credit risk has received much attention in the academic literature. The bulk of the work has focused on theoretical valuation issues. There is far less research on the empirical side. Nearly all of the empirical work investigating credit risk has focused on the bond market. The main approach was to explain the determinants and the dynamics of the credit spread, hence the difference between the yield on a bond of a risky counterparty and a government bond. Government and corporate bonds differ in a variety of ways, which makes the credit spread an imperfect proxy for credit risk. Some of the issues are addressed in Duffee (1998).