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A Two-Factor Hazard Rate Model for Pricing Risky Debt and the Term Structure of Credit Spreads

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  • Madan, Dilip
  • Unal, Haluk
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    Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

    Volume (Year): 35 (2000)
    Issue (Month): 01 (March)
    Pages: 43-65
    Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
    Handle: RePEc:cup:jfinqa:v:35:y:2000:i:01:p:43-65_00

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    Cited by:
    1. Kwamie Dunbar, 2005. "An Empirical Review of United States Corporate Default Swap Valuation: The Implications of Functional Forms," Fordham Economics Dissertations 2005.2, Fordham University, Department of Economics.
    2. Jonathan Batten & Warren Hogan & Gady Jacoby, 2005. "Measuring credit spreads: evidence from Australian Eurobonds," Applied Financial Economics, Taylor and Francis Journals, vol. 15(9), pages 651-666.
    3. Jun Yang, 2008. "Macroeconomic Determinants of the Term Structure of Corporate Spreads," Working Papers 08-29, Bank of Canada.
    4. Benjamin Yibin Zhang & Hao Zhou & Haibin Zhu, 2009. "Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 22(12), pages 5099-5131, December.
    5. Jonathan Batten & Francis In, 2006. "Dynamic interaction and valuation of quality yen Eurobonds in a multivariate EGARCH framework," Applied Financial Economics, Taylor and Francis Journals, vol. 16(12), pages 881-892.
    6. Dailami, Mansoor & Hauswald, Robert, 2001. "Contract risks and credit spread determinants in the international project bond market," Policy Research Working Paper Series 2712, The World Bank.
    7. J.L. Prigent & O. Renault & O.Scaillet, 2000. "An Empirical Estimation in Credit Spread Indices," THEMA Working Papers 2000-51, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    8. Kwamie Dunbar, 2008. "US corporate default swap valuation: the market liquidity hypothesis and autonomous credit risk," Quantitative Finance, Taylor and Francis Journals, vol. 8(3), pages 321-334.
    9. Kwamie Dunbar & Albert J. Edwards, 2007. "Empirical Analysis of Credit Risk Regime Switching and Temporal Conditional Default Correlation in Credit Default Swap Valuation: The Market liquidity effect," Working papers 2007-10, University of Connecticut, Department of Economics.
    10. Haluk Unal & Dilip Madan & Levent Güntay, 2001. "Pricing the Risk of Recovery in Default with APR Violation," Center for Financial Institutions Working Papers 02-21, Wharton School Center for Financial Institutions, University of Pennsylvania.
    11. Salih Neftci, 2001. "Correlation of Defauls Events Some New Tools," ICMA Centre Discussion Papers in Finance icma-dp2002-17, Henley Business School, Reading University.

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