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An Analytical Model of Interest Rate Differentials and Different Default Recoveries

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  • Yawitz, Jess B.
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    Bibliographic Info

    Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

    Volume (Year): 12 (1977)
    Issue (Month): 03 (September)
    Pages: 481-490

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    Handle: RePEc:cup:jfinqa:v:12:y:1977:i:03:p:481-490_02

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    Cited by:
    1. Jess B. Yawitz & Kevin J. Maloney & Louis H. Ederington, 1983. "Taxes, Default Risk, and Yield Spreads," NBER Working Papers 1215, National Bureau of Economic Research, Inc.
    2. Bandyopadhyay, Arindam & Singh, Pratima, 2007. "Estimating Recovery Rates on Bank’s Historical Loan Loss Data," MPRA Paper 9525, University Library of Munich, Germany.
    3. Ewerhart, Christian & Cassola, Nuno & Valla, Natacha, 2010. "Declining valuations and equilibrium bidding in central bank refinancing operations," International Journal of Industrial Organization, Elsevier, vol. 28(1), pages 30-43, January.
    4. Cumby, Robert E. & Pastine, Tuvana, 2001. "Emerging market debt: measuring credit quality and examining relative pricing," Journal of International Money and Finance, Elsevier, vol. 20(5), pages 591-609, October.
    5. Barry Eichengreen, 1989. "Til Debt Do Us Part: The U.S. Capital Market and Foreign Lending, 1920-1955," NBER Working Papers 2394, National Bureau of Economic Research, Inc.
    6. Wu, Chunchi & Yu, Chih-Hsien, 1996. "Risk aversion and the yield of corporate debt," Journal of Banking & Finance, Elsevier, vol. 20(2), pages 267-281, March.
    7. Louis H. Ederington & Jess B. Yawitz & Brian E. Roberts, 1984. "The Informational Content of Bond Ratings," NBER Working Papers 1323, National Bureau of Economic Research, Inc.
    8. Thomas A. Lawler, 1978. "Measuring the default risk of bonds using yields to maturity," Working Paper 78-04, Federal Reserve Bank of Richmond.
    9. Cassola, N. & Ewerhart , C. & Valla, N., 2006. "Declining Valuations and Equilibrium Bidding Central Bank Refinancing Operations," Working papers 151, Banque de France.
    10. Blöchlinger, Andreas, 2011. "Arbitrage-free credit pricing using default probabilities and risk sensitivities," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 268-281, February.
    11. Michael Smirlock & Jess B. Yawitz, 1984. "Asset Returns, Discount Rate Changes and Market Efficiency," NBER Working Papers 1530, National Bureau of Economic Research, Inc.
    12. Jeremy Leake, 2003. "Credit spreads on sterling corporate bonds and the term structure of UK interest rates," Bank of England working papers 202, Bank of England.
    13. Odermann, Alexander & Cremers, Heinz, 2013. "Komponenten und Determinanten des Credit Spreads: Empirische Untersuchung während Phasen von Marktstress," Frankfurt School - Working Paper Series 204, Frankfurt School of Finance and Management.

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