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Default Risk And Diversification: Theory And Empirical Implications

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Author Info
Robert A. Jarrow
David Lando
Fan Yu

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Abstract

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.0960-1627.2005.00208.x
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Article provided by Blackwell Publishing in its journal Mathematical Finance.

Volume (Year): 15 (2005)
Issue (Month): 1 ()
Pages: 1-26
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Handle: RePEc:bla:mathfi:v:15:y:2005:i:1:p:1-26

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  1. Abel Elizalde, 2006. "Credit Risk Models I: Default Correlation In Intensity Models," Working Papers wp2006_0605, CEMFI. [Downloadable!]
  2. Hidetoshi Nakagawa & Tomoaki Shouda, 2004. "Analyses of Mortgage-Backed Securities Based on Unobservable Prepayment Cost Processes," Asia-Pacific Financial Markets, Springer, vol. 11(3), pages 233-266, September. [Downloadable!] (restricted)
  3. Siem Jan Koopman & André Lucas, 2003. "Business and Default Cycles for Credit Risk," Tinbergen Institute Discussion Papers 03-062/2, Tinbergen Institute, revised 09 Jan 2003. [Downloadable!]
    Other versions:
  4. Tomasz Bielecki & Inwon Jang, 2006. "Portfolio optimization with a defaultable security," Asia-Pacific Financial Markets, Springer, vol. 13(2), pages 113-127, June. [Downloadable!] (restricted)
  5. Li Chen & H. Vincent Poor, 2003. "Credit Risk Modeling and the Term Structure of Credit Spreads," Finance 0312009, EconWPA. [Downloadable!]
  6. Susanto Basu & Robert Inklaar & J. Christina Wang, 2008. "The value of risk: measuring the service output of U. S. commercial banks," Working Papers 08-4, Federal Reserve Bank of Boston. [Downloadable!]
    Other versions:
  7. Holger Kraft & Mogens Steffensen, 2005. "How to Invest Optimally in Corporate Bonds: A Reduced-Form Approach," FRU Working Papers 2005/07, University of Copenhagen. Department of Economics. Finance Research Unit. [Downloadable!]
  8. Bas Peeters & Cees L. Dert & André Lucas, 2003. "Black Scholes for Portfolios of Options in Discrete Time: the Price is Right, the Hedge is wrong," Tinbergen Institute Discussion Papers 03-090/2, Tinbergen Institute. [Downloadable!]
  9. Sanjiv Das & Darrell Duffie & Nikunj Kapadia & Leandro Saita, 2006. "Common Failings: How Corporate Defaults are Correlated," NBER Working Papers 11961, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  10. Robert Jarrow & Vikrant Tyagi, 2007. "Tax liens: a novel application of asset pricing theory," Review of Derivatives Research, Springer, vol. 10(2), pages 181-204, May. [Downloadable!] (restricted)
  11. Lara Cathcart & Lina El-Jahel, 2006. "Pricing defaultable bonds: a middle-way approach between structural and reduced-form models," Quantitative Finance, Taylor and Francis Journals, vol. 6(3), pages 243-253, June. [Downloadable!] (restricted)
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