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Risky debt, jump processes, and safety covenants

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  • Mason, Scott P.
  • Bhattacharya, Sudipto

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 9 (1981)
Issue (Month): 3 (September)
Pages: 281-307

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Handle: RePEc:eee:jfinec:v:9:y:1981:i:3:p:281-307

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Web page: http://www.elsevier.com/locate/inca/505576

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Cited by:
  1. Cakir, Murat, 2001. "Credit Derivatives in Managing Off Balance Sheet Risks by Banks," MPRA Paper 55976, University Library of Munich, Germany.
  2. Manzoni, Katiuscia, 2002. "Modeling credit spreads: An application to the sterling Eurobond market," International Review of Financial Analysis, Elsevier, vol. 11(2), pages 183-218.
  3. Edward J. Elton & Martin J. Gruber & Deepak Agrawal & Christopher Mann, 1999. "Explaining the Rate Spread on Corporate Bonds," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-082, New York University, Leonard N. Stern School of Business-.
  4. Sanjiv R. Das & Rangarajan K. Sundaram, 1998. "A Direct Approach to Arbitrage-Free Pricing of Credit Derivatives," NBER Working Papers 6635, National Bureau of Economic Research, Inc.
  5. Acharya, Viral V & Das, Sanjiv Ranjan & Sundaram, Rangarajan K, 2002. "Pricing Credit Derivatives with Rating Transitions," CEPR Discussion Papers 3329, C.E.P.R. Discussion Papers.
  6. Esteghamat, Kian, 2003. "A boundary crossing model of counterparty risk," Journal of Economic Dynamics and Control, Elsevier, vol. 27(10), pages 1771-1799, August.
  7. Moraux, Franck, 2004. "Modeling the business risk of financially weakened firms: A new approach for corporate bond pricing," International Review of Financial Analysis, Elsevier, vol. 13(1), pages 47-61.
  8. Marco Realdon, 2007. "Valuation of the Firm's Liabilities When Equity Holders Are Also Creditors," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(5-6), pages 950-975.
  9. Zhou, Chunsheng, 2001. "The term structure of credit spreads with jump risk," Journal of Banking & Finance, Elsevier, vol. 25(11), pages 2015-2040, November.
  10. Chen, Andrew H., 2002. "A new perspective on infrastructure financing in Asia," Pacific-Basin Finance Journal, Elsevier, vol. 10(3), pages 227-242, June.
  11. Sanjiv Ranjan Das & Rangarajan K. Sundaram, 1998. "A Direct Approach to Arbitrage-Free Pricing of Derivatives," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-013, New York University, Leonard N. Stern School of Business-.

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