Asset Prices and Default-Free Term Structure in an Equilibrium Model of Default
AbstractWe present an equilibrium framework in which asset prices, default-free term structure and default premia are determined simultaneously.
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Bibliographic InfoPaper provided by Columbia - Graduate School of Business in its series Papers with number 99-4.
Length: 49 pages
Date of creation: 1999
Date of revision:
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Postal: U.S.A.; COLUMBIA UNIVERSITY, GRADUATE SCHOOL OF BUSINESS, PAINE WEBBER , New York, NY 10027 U.S.A
Phone: (212) 854-5553
Web page: http://www.columbia.edu/cu/business/
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FINANCIAL MARKET ; PRICES;
Find related papers by JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G19 - Financial Economics - - General Financial Markets - - - Other
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
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- Andriy DEMCHUK,, 2003. "Sovereign Debt Contract and Optimal Consumption-Investment Strategies," FAME Research Paper Series rp104, International Center for Financial Asset Management and Engineering.
- Martin Lettau & Sydney Ludvigson, 2001.
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- Martin Lettau & Sydney Ludvigson, 1999. "Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying," Staff Reports 93, Federal Reserve Bank of New York.
- Linda Allen & Anthony Saunders, 2004. "Incorporating Systemic Influences Into Risk Measurements: A Survey of the Literature," Journal of Financial Services Research, Springer, vol. 26(2), pages 161-191, October.
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