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Finance and Economics Discussion Series Federal Reserve Board, Washington, D.C. ISSN 1936-2854 (Print) ISSN 2767-3898 (Online) Default Clustering Risk Premium and its Cross-Market Asset Pricing Implications Kiwoong Byun, Baeho Kim, and Dong Hwan Oh 2023-055 Please cite this paper as: Byun, Kiwoong, Baeho Kim, and Dong Hwan Oh (2023). “Default Clustering Risk Pre- mium and its Cross-Market Asset Pricing Implications,” Finance and Economics Discus- sion Series 2023-055. Washington: Board of Governors of the Federal Reserve System, /10.17016/FEDS.2023.055. NOTE: Staff working papers in th