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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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    Bibliographic Info

    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

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    Handle: RePEc:cup:jfinqa:v:35:y:2000:i:01:p:43-65_00

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    Cited by:
    1. 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.
    2. Kwamie Dunbar, . "An Empirical Review of United States Corporate Default Swap Valuation: The Implications of Functional Forms," Fordham Economics Dissertations, Fordham University, Department of Economics, number 2005.2.
    3. 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.
    4. Christiansen, Charlotte, 2000. "Credit Spreads and the Term Structure of Interest Rates," Finance Working Papers 00-14, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    5. 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.
    6. Batten, Jonathan & Hogan, Warren, 2002. "A perspective on credit derivatives," International Review of Financial Analysis, Elsevier, vol. 11(3), pages 251-278.
    7. 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.
    8. Kang, Jangkoo & Kim, Hwa-Sung, 2005. "Pricing counterparty default risks: Applications to FRNs and vulnerable options," International Review of Financial Analysis, Elsevier, vol. 14(3), pages 376-392.
    9. 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.
    10. Jun Yang, 2008. "Macroeconomic Determinants of the Term Structure of Corporate Spreads," Working Papers 08-29, Bank of Canada.
    11. Unal, Haluk & Madan, Dilip & Guntay, Levent, 2003. "Pricing the risk of recovery in default with absolute priority rule violation," Journal of Banking & Finance, Elsevier, vol. 27(6), pages 1001-1025, June.
    12. 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, Society for Financial Studies, vol. 22(12), pages 5099-5131, December.
    13. Batten, Jonathan A. & Fetherston, Thomas A. & Hoontrakul, Pongsak, 2006. "Factors affecting the yields of emerging market issuers: Evidence from the Asia-Pacific region," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(1), pages 57-70, February.
    14. Dailami, Mansoor & Hauswald, Robert, 2007. "Credit-spread determinants and interlocking contracts: A study of the Ras Gas project," Journal of Financial Economics, Elsevier, vol. 86(1), pages 248-278, October.
    15. 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.
    16. 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.
    17. Salih Neftci, 2001. "Correlation of Defauls Events Some New Tools," ICMA Centre Discussion Papers in Finance icma-dp2002-17, Henley Business School, Reading University.
    18. Batten, Jonathan A. & Hogan, Warren P., 2003. "Time variation in the credit spreads on Australian Eurobonds," Pacific-Basin Finance Journal, Elsevier, vol. 11(1), pages 81-99, January.

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