Default probability on corporate bonds: A contingent claims model
Author
Abstract
Suggested Citation
DOI: 10.1016/S1058-3300(97)90006-9
Download full text from publisher
References listed on IDEAS
- Jones, E Philip & Mason, Scott P & Rosenfeld, Eric, 1984. "Contingent Claims Analysis of Corporate Capital Structures: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 39(3), pages 611-625, July.
- Scott, James, 1981. "The probability of bankruptcy: A comparison of empirical predictions and theoretical models," Journal of Banking & Finance, Elsevier, vol. 5(3), pages 317-344, September.
- Joseph P. Ogden, 1987. "Determinants Of The Ratings And Yields On Corporate Bonds: Tests Of The Contingent Claims Model," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 10(4), pages 329-340, December.
- Merton, Robert C, 1974.
"On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,"
Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
- Merton, Robert C., 1973. "On the pricing of corporate debt: the risk structure of interest rates," Working papers 684-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Franks, Julian R & Torous, Walter N, 1989. " An Empirical Investigation of U.S. Firms in Reorganization," Journal of Finance, American Finance Association, vol. 44(3), pages 747-769, July.
- Julian R. Franks & Walter N. Torous, 1989. "An Empirical Investigation of U.S. Firms in Reorganization," Journal of Finance, American Finance Association, vol. 44(3), pages 747-769, July.
- Benjamin M. Friedman, 1985. "Corporate Capital Structures in the United States," NBER Books, National Bureau of Economic Research, Inc, number frie85-1, March.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
- Kaplan, Robert S & Urwitz, Gabriel, 1979. "Statistical Models of Bond Ratings: A Methodological Inquiry," The Journal of Business, University of Chicago Press, vol. 52(2), pages 231-261, April.
- Bowman, Rg, 1980. "The Importance Of A Market-Value Measurement Of Debt In Assessing Leverage," Journal of Accounting Research, Wiley Blackwell, vol. 18(1), pages 242-254.
- E. Philip Jones & Scott P. Mason & Eric Rosenfeld, 1985. "Contingent Claims Valuation of Corporate Liabilities: Theory and Empirical Tests," NBER Chapters, in: Corporate Capital Structures in the United States, pages 239-264, National Bureau of Economic Research, Inc.
- Horrigan, Jo, 1966. "Determination Of Long-Term Credit Standing With Financial Ratios," Journal of Accounting Research, Wiley Blackwell, vol. 4, pages 44-62.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Trussel, John, 1997. "Default probability on corporate bonds: A contingent claims model," Review of Financial Economics, Elsevier, vol. 6(2), pages 199-209.
- Correia, Ricardo & Población, Javier, 2015. "A structural model with Explicit Distress," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 112-130.
- Samuel Chege Maina, 2011. "Credit Risk Modelling in Markovian HJM Term Structure Class of Models with Stochastic Volatility," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2011.
- Ericsson, Jan & Reneby, Joel, 2003. "Valuing Corporate Liabilities," SIFR Research Report Series 15, Institute for Financial Research.
- Ericsson, Jan & Jacobs, Kris & Oviedo, Rodolfo, 2009.
"The Determinants of Credit Default Swap Premia,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(1), pages 109-132, February.
- Jan Ericsson & Kris Jacobs & Rodolfo A. Oviedo, 2004. "The Determinants of Credit Default Swap Premia," CIRANO Working Papers 2004s-55, CIRANO.
- Ericsson, Jan & Jacobs, Kris & Oviedo-Helfenberger, Rodolfo, 2004. "The Determinants of Credit Default Swap Premia," SIFR Research Report Series 32, Institute for Financial Research.
- Jakub Seidler, 2008. "Implied Market Loss Given Default: structural-model approach," Working Papers IES 2008/26, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Oct 2008.
- Samuel Chege Maina, 2011. "Credit Risk Modelling in Markovian HJM Term Structure Class of Models with Stochastic Volatility," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 5, July-Dece.
- Jakub Seidler & Petr Jakubík, 2009. "Implied Market Loss Given Default in the Czech Republic: Structural-Model Approach," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 59(1), pages 20-40, January.
- Pascal Damel & Hoai An Le Thi & Nadège Peltre, 2016. "The challenge in managing new financial risks: adopting an heuristic or theoretical approach," Annals of Operations Research, Springer, vol. 247(2), pages 581-598, December.
- Eberhart, Allan C., 2005. "A comparison of Merton's option pricing model of corporate debt valuation to the use of book values," Journal of Corporate Finance, Elsevier, vol. 11(1-2), pages 401-426, March.
- Paul Kupiec, 2007. "Financial stability and Basel II," Annals of Finance, Springer, vol. 3(1), pages 107-130, January.
- Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
- Abel Elizalde, 2006. "Credit Risk Models II: Structural Models," Working Papers wp2006_0606, CEMFI.
- Reisz, Alexander S. & Perlich, Claudia, 2007. "A market-based framework for bankruptcy prediction," Journal of Financial Stability, Elsevier, vol. 3(2), pages 85-131, July.
- Ephraim Clark & Selima Baccar, 2018. "Modelling credit spreads with time volatility, skewness, and kurtosis," Annals of Operations Research, Springer, vol. 262(2), pages 431-461, March.
- Marco Realdon, "undated". "About Debt and the Option to Extend Debt Maturity," Discussion Papers 03/20, Department of Economics, University of York.
- Bougias, Alexandros & Episcopos, Athanasios & Leledakis, George N., 2022.
"The role of asset payouts in the estimation of default barriers,"
International Review of Financial Analysis, Elsevier, vol. 81(C).
- Bougias, Alexandros & Episcopos, Athanasios & Leledakis, George N., 2022. "The role of asset payouts in the estimation of default barriers," MPRA Paper 112317, University Library of Munich, Germany.
- Martin Dòzsa & Karel Janda, 2015. "Corporate asset pricing models and debt contracts," CAMA Working Papers 2015-33, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- repec:wyi:journl:002109 is not listed on IDEAS
- Pascal Francois, 2006. "Tax loss carry-forwards and optimal leverage," Applied Financial Economics, Taylor & Francis Journals, vol. 16(14), pages 1075-1083.
- Joao C. A. Teixeira, 2005. "An empirical analysis of structural models of corporate debt pricing," Finance 0505001, University Library of Munich, Germany.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wly:revfec:v:6:y:1997:i:2:p:199-209. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://doi.org/10.1002/(ISSN)1873-5924 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.