An empirical analysis of structural models of corporate debt pricing
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References listed on IDEAS
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Cited by:
- Mercadier, Mathieu & Lardy, Jean-Pierre, 2019.
"Credit spread approximation and improvement using random forest regression,"
European Journal of Operational Research, Elsevier, vol. 277(1), pages 351-365.
- Mathieu Mercadier & Jean-Pierre Lardy, 2019. "Credit Spread Approximation and Improvement using Random Forest Regression," Post-Print hal-02057019, HAL.
- Mathieu Mercadier & Jean-Pierre Lardy, 2019. "Credit spread approximation and improvement using random forest regression," Post-Print hal-03241566, HAL.
- Mathieu Mercadier & Jean-Pierre Lardy, 2021. "Credit spread approximation and improvement using random forest regression," Papers 2106.07358, arXiv.org.
- Paula Morales-Bañuelos & Guillermo Fernández-Anaya, 2023. "Default Probabilities and the Credit Spread of Mexican Companies: The Modified Merton Model," Mathematics, MDPI, vol. 11(20), pages 1-30, October.
- Chang, Sean Tat & Ross, Donald, 2016. "Debt covenants and credit spread valuation: The special case of Chinese global bonds," Global Finance Journal, Elsevier, vol. 30(C), pages 27-44.
- Arianna Agosto & Enrico Moretto, 2012. "Exploiting default probabilities in a structural model with nonconstant barrier," Applied Financial Economics, Taylor & Francis Journals, vol. 22(8), pages 667-679, April.
- Kim, Daniel & Pouget, Sébastien, 2023. "Do carbon emissions affect the cost of capital? Primary versus secondary corporate bond markets," TSE Working Papers 23-1472, Toulouse School of Economics (TSE).
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More about this item
Keywords
structural models; corporate debt valuation; empirical credit spreads;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CFN-2005-05-07 (Corporate Finance)
- NEP-FIN-2005-05-07 (Finance)
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