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Credit Risk Models

Citations

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Cited by:

  1. Nadia STOIAN & Mariana BALAN, 2012. "Stochastic Models For Credit Risk," Internal Auditing and Risk Management, Athenaeum University of Bucharest, vol. 1(26), pages 35-44, March.
  2. Michele Leonardo Bianchi, 2012. "An empirical comparison of alternative credit default swap pricing models," Temi di discussione (Economic working papers) 882, Bank of Italy, Economic Research and International Relations Area.
  3. Pesaran, M. Hashem & Schuermann, Til & Treutler, Bjorn-Jakob & Weiner, Scott M., 2006. "Macroeconomic Dynamics and Credit Risk: A Global Perspective," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(5), pages 1211-1261, August.
  4. Jumbe, George, 2023. "Credit Risk Assessment Using Default Models: A Review," OSF Preprints ksb8n, Center for Open Science.
  5. Ramaprasad Bhar, 2010. "Stochastic Filtering with Applications in Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7736.
  6. Jos'e Manuel Corcuera & Arturo Valdivia, 2016. "CoCos under short-term uncertainty," Papers 1602.00094, arXiv.org.
  7. Francis A. Longstaff & Sanjay Mithal & Eric Neis, 2005. "Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market," Journal of Finance, American Finance Association, vol. 60(5), pages 2213-2253, October.
  8. Delia Coculescu & Ashkan Nikeghbali, 2008. "Hazard processes and martingale hazard processes," Papers 0807.4958, arXiv.org.
  9. Andrea Macrina & Priyanka A. Parbhoo, 2010. "Security Pricing with Information-Sensitive Discounting," Papers 1001.3570, arXiv.org, revised Jun 2010.
  10. Delia Coculescu, 2009. "From the decompositions of a stopping time to risk premium decompositions," Papers 0912.4312, arXiv.org, revised May 2010.
  11. Jirô Akahori & Andrea Macrina, 2012. "Heat Kernel Interest Rate Models With Time-Inhomogeneous Markov Processes," World Scientific Book Chapters, in: Matheus R Grasselli & Lane P Hughston (ed.), Finance at Fields, chapter 1, pages 1-15, World Scientific Publishing Co. Pte. Ltd..
  12. Dong, Xin & Zheng, Harry, 2015. "Intensity process for a pure jump Lévy structural model with incomplete information," Stochastic Processes and their Applications, Elsevier, vol. 125(4), pages 1307-1322.
  13. Diogo Duarte & Rodolfo Prieto & Marcel Rindisbacher & Yuri F. Saporito, 2022. "Vanishing Contagion Spreads," Management Science, INFORMS, vol. 68(1), pages 740-772, January.
  14. Kraft, Holger & Munk, Claus, 2007. "Bond durations: Corporates vs. Treasuries," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3720-3741, December.
  15. Xin Dong & Harry Zheng, 2014. "Intensity Process for a Pure Jump L\'evy Structural Model with Incomplete Information," Papers 1405.3767, arXiv.org.
  16. Jose Giancarlo Gasha & Mr. Andre O Santos & Mr. Jorge A Chan-Lau & Mr. Carlos I. Medeiros & Mr. Marcos R Souto & Christian Capuano, 2009. "Recent Advances in Credit Risk Modeling," IMF Working Papers 2009/162, International Monetary Fund.
  17. Elizabeth Gutierrez & Jake Krupa & Miguel Minutti-Meza & Maria Vulcheva, 2020. "Do going concern opinions provide incremental information to predict corporate defaults?," Review of Accounting Studies, Springer, vol. 25(4), pages 1344-1381, December.
  18. Robert Jarrow & Philip Protter, 2020. "Credit Risk, Liquidity, and Bubbles," International Review of Finance, International Review of Finance Ltd., vol. 20(3), pages 737-746, September.
  19. Ulrich Horst & Michael Kupper & Andrea Macrina & Christoph Mainberger, 2013. "Continuous equilibrium in affine and information-based capital asset pricing models," Annals of Finance, Springer, vol. 9(4), pages 725-755, November.
  20. Brent Ambrose & Yildiray Yildirim, 2008. "Credit Risk and the Term Structure of Lease Rates: A Reduced Form Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 37(3), pages 281-298, October.
  21. Andrea Macrina & Priyanka A. Parbhoo, 2010. "Securities Pricing with Information-Sensitive Discounting," KIER Working Papers 695, Kyoto University, Institute of Economic Research.
  22. Lindset, Snorre & Lund, Arne-Christian & Persson, Svein-Arne, 2014. "Credit risk and asymmetric information: A simplified approach," Journal of Economic Dynamics and Control, Elsevier, vol. 39(C), pages 98-112.
  23. Lijun Bo & Yongjin Wang & Xuewei Yang, 2014. "On the Default Probability in a Regime-Switching Regulated Market," Methodology and Computing in Applied Probability, Springer, vol. 16(1), pages 101-113, March.
  24. El Karoui, Nicole & Jeanblanc, Monique & Jiao, Ying, 2017. "Dynamics of multivariate default system in random environment," Stochastic Processes and their Applications, Elsevier, vol. 127(12), pages 3943-3965.
  25. Xu, Xin, 2013. "Forecasting Bankruptcy with Incomplete Information," MPRA Paper 55024, University Library of Munich, Germany, revised 31 Mar 2014.
  26. Niu, Huawei & Hua, Wei, 2019. "An endogenous structural credit risk model incorporating with moral hazard and rollover risk," Economic Modelling, Elsevier, vol. 78(C), pages 47-59.
  27. Francesca Biagini & Andrea Mazzon & Ari-Pekka Perkkiö, 2023. "Optional projection under equivalent local martingale measures," Finance and Stochastics, Springer, vol. 27(2), pages 435-465, April.
  28. Junchi Ma & Mobolaji Ogunsolu & Jinniao Qiu & Ayşe Deniz Sezer, 2023. "Credit risk pricing in a consumption‐based equilibrium framework with incomplete accounting information," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 666-708, July.
  29. Robert Jarrow & Philip Protter & A. Sezer, 2007. "Information reduction via level crossings in a credit risk model," Finance and Stochastics, Springer, vol. 11(2), pages 195-212, April.
  30. Delia Coculescu & Monique Jeanblanc & Ashkan Nikeghbali, 2012. "Default times, no-arbitrage conditions and changes of probability measures," Finance and Stochastics, Springer, vol. 16(3), pages 513-535, July.
  31. Tim Leung & Michael Ludkovski, 2010. "Optimal Timing to Purchase Options," Papers 1008.3650, arXiv.org, revised Apr 2011.
  32. Alexander M. Karminsky & Sergei Grishunin & Natalya Dyachkova & Maxim Bisenov, 2020. "The comparison of empirical methods for modeling credit ratings of industrial companies from BRICS countries," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 10(2), pages 333-348, June.
  33. Maria Carmen Badia Batlle & M. Mercedes Galisteo Rodriguez & M. Teresa Preixens Benedicto, 2006. "Un modelo de riesgo de credito basado en opciones compuestas con barrera. Aplicacion al mercado continuo espanol," Working Papers in Economics 156, Universitat de Barcelona. Espai de Recerca en Economia.
  34. Juan Dong & Lyudmila Korobenko & Deniz Sezer, 2019. "Nonhedgeable risk and Credit Risk Pricing," Papers 1910.08641, arXiv.org.
  35. Beer, Simone & Braun, Alexander, 2022. "Market-consistent valuation of natural catastrophe risk," Journal of Banking & Finance, Elsevier, vol. 134(C).
  36. Wai-Ki Ching & Jia-Wen Gu & Harry Zheng, 2014. "On Correlated Defaults and Incomplete Information," Papers 1409.1393, arXiv.org, revised Jan 2016.
  37. Nicole El Karoui & Monique Jeanblanc & Ying Jiao, 2017. "Dynamics of multivariate default system in random environment," Post-Print hal-01205753, HAL.
  38. Arthur M. Berd, 2009. "A Guide to Modeling Credit Term Structures," Papers 0912.4623, arXiv.org, revised Dec 2009.
  39. Delia Coculescu & Hélyette Geman & Monique Jeanblanc, 2008. "Valuation of default-sensitive claims under imperfect information," Finance and Stochastics, Springer, vol. 12(2), pages 195-218, April.
  40. Alejandro Revéiz Hérault, "undated". "Factores determinantes de los márgenes entre bonos del gobierno y bonos corporativos en los Estados Unidos," Lecturas en Finanzas 002710, Banco de la Republica de Colombia.
  41. C. N. V. Krishnan & Peter H. Ritchken & James B. Thomson, 2003. "Monitoring and controlling bank risk: does risky debt serve any purpose?," Working Papers (Old Series) 0301, Federal Reserve Bank of Cleveland.
  42. Chen, Jun-Home & Lian, Yu-Min & Liao, Szu-Lang, 2022. "Pricing catastrophe equity puts with counterparty risks under Markov-modulated, default-intensity processes," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
  43. Norbert Jobst & Stavros A. Zenios, 2001. "Extending Credit Risk (Pricing) Models for the Simulation of Portfolios of Interest Rate and Credit Risk Sensitive Securities," Center for Financial Institutions Working Papers 01-25, Wharton School Center for Financial Institutions, University of Pennsylvania.
  44. Li Chen & Damir Filipovic, 2003. "Credit Derivatives in an Affine Framework," Finance 0307002, University Library of Munich, Germany.
  45. zhang, zhichao & Xie, Li & lu, xiangyun & zhang, zhuang, 2014. "Determinants of financial distress in u.s. large bank holding companies," MPRA Paper 53545, University Library of Munich, Germany.
  46. Jarrow, Robert A., 2010. "A simple robust model for Cat bond valuation," Finance Research Letters, Elsevier, vol. 7(2), pages 72-79, June.
  47. Longstaff, Francis A. & Mithal, Sanjay & Neis, Eric, 2004. "Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market, previously titled: "The Credit-Default Swap Market: Is Credit Protection Priced Correctly?&qu," University of California at Los Angeles, Anderson Graduate School of Management qt8gn7h03k, Anderson Graduate School of Management, UCLA.
  48. Jarrow, Robert A., 2014. "Financial crises and economic growth," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(2), pages 194-207.
  49. Li Chen & Damir Filipovic, 2003. "Pricing Credit Default Swaps Under Default Correlations and Counterparty Risk," Finance 0303009, University Library of Munich, Germany.
  50. Abel Elizalde, 2006. "Credit Risk Models III: Reconciliation Reduced – Structural Models," Working Papers wp2006_0607, CEMFI.
  51. Haibin Zhu, 2006. "An Empirical Comparison of Credit Spreads between the Bond Market and the Credit Default Swap Market," Journal of Financial Services Research, Springer;Western Finance Association, vol. 29(3), pages 211-235, June.
  52. Michael Adler & Jeong Song, 2010. "The behavior of emerging market sovereigns' credit default swap premiums and bond yield spreads," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(1), pages 31-58.
  53. Jarrow, Robert A., 2011. "Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate," Finance Research Letters, Elsevier, vol. 8(1), pages 2-7, March.
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