Advanced Search
MyIDEAS: Login

Citations for " Pricing Derivatives on Financial Securities Subject to Credit Risk"

by Jarrow, Robert A & Turnbull, Stuart M

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window
  1. Kwamie Dunbar, 2008. "US corporate default swap valuation: the market liquidity hypothesis and autonomous credit risk," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 8(3), pages 321-334.
  2. Kraft, Holger & Steffensen, Mogens, 2009. "Asset allocation with contagion and explicit bankruptcy procedures," Journal of Mathematical Economics, Elsevier, vol. 45(1-2), pages 147-167, January.
  3. Roberto Blanco & Simon Brennan & Ian W. Marsh, 2004. "An empirical analysis of the dynamic relationship between investment grade bonds and credit default swaps," Banco de Espa�a Working Papers 0401, Banco de Espa�a.
  4. Siem Jan Koopman & André Lucas & Pieter Klaassen, 2002. "Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation," Tinbergen Institute Discussion Papers 02-107/2, Tinbergen Institute.
  5. Francois, Pascal & Hubner, Georges, 2004. "Credit derivatives with multiple debt issues," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 997-1021, May.
  6. Finbarr Murphy & Bernard Murphy, 2012. "A vector-autoregression analysis of credit and liquidity factor dynamics in US LIBOR and Euribor swap markets," Journal of Economics and Finance, Springer, vol. 36(2), pages 351-370, April.
  7. Lando, David & Mortensen, Allan, 2004. "On the Pricing of Step-Up Bonds in the European Telecom Sector," Working Papers, Copenhagen Business School, Department of Finance 2004-9, Copenhagen Business School, Department of Finance.
  8. Antonio Trujillo-Ponce & Reyes Samaniego-Medina & Clara Cardone-Riportella, 2012. "Examining what best explains corporate credit risk: accounting-based versus market-based models," Working Papers, Universidad Pablo de Olavide, Department of Financial Economics and Accounting (former Department of Business Administration) 12.03, Universidad Pablo de Olavide, Department of Financial Economics and Accounting (former Department of Business Administration).
  9. Ian Marsh, 2002. "What central banks can learn about default risk from credit markets," BIS Papers chapters, in: Bank for International Settlements (ed.), Market functioning and central bank policy, volume 12, pages 329-339 Bank for International Settlements.
  10. Ping Zhou, 2007. "Forecasting bankruptcy and physical default intensity," LSE Research Online Documents on Economics 24434, London School of Economics and Political Science, LSE Library.
  11. Ramaprasad Bhar, 2010. "Stochastic Filtering With Applications In Finance:," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., World Scientific Publishing Co. Pte. Ltd., number 7736.
  12. Lekkos, Ilias, 2007. "Modelling multiple term structures of defaultable bonds with common and idiosyncratic state variables," Journal of Empirical Finance, Elsevier, Elsevier, vol. 14(5), pages 783-817, December.
  13. Lin, Jyh-Horng, 2000. "A contingent claim analysis of a rate-setting financial intermediary," International Review of Economics & Finance, Elsevier, vol. 9(4), pages 375-386, October.
  14. Alexis Derviz & Narcisa Kadlcáková, 2005. "Business cycle, credit risk and economic capital determination by commercial banks," BIS Papers chapters, in: Bank for International Settlements (ed.), Investigating the relationship between the financial and real economy, volume 22, pages 299-327 Bank for International Settlements.
  15. Chen, Ren-Raw & Cheng, Xiaolin & Liu, Bo, 2008. "Estimation and evaluation of the term structure of credit default swaps: An empirical study," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 339-349, December.
  16. Youngha Cho & Soosung Hwang & Steve Satchell, 2012. "The Optimal Mortgage Loan Portfolio in UK Regional Residential Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 45(3), pages 645-677, October.
  17. Daniel Roesch & Harald Scheule, 2011. "Securitization Rating Performance and Agency Incentives," Working Papers 182011, Hong Kong Institute for Monetary Research.
  18. Penasse, Julien, 2008. "Cash Flow-Wise ABCDS pricing," MPRA Paper 10853, University Library of Munich, Germany.
  19. Papanastasopoulos, George, 2005. "Using Option Theory and Fundamentals to Assessing Default Risk of Listed Firms," MPRA Paper 453, University Library of Munich, Germany, revised Jun 2006.
  20. Pierides, Yiannos A., 1997. "The pricing of credit risk derivatives," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 21(10), pages 1579-1611, August.
  21. F. Andre-le Pogamp & F. Moraux, 2004. "Valuing callable convertible bonds: a reduced approach," Applied Financial Economics, Taylor & Francis Journals, vol. 14(10), pages 743-749.
  22. Marti G. Subrahmanyam & Young Ho Eom & Jun Uno, 2000. "Credit Risk and the Pricing of Japanese Yen Interest Rate Swaps," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- 98-069, New York University, Leonard N. Stern School of Business-.
  23. Jose Giancarlo Gasha & Andre Santos & Jorge A. Chan-Lau & Carlos I. Medeiros & Marcos Souto & Christian Capuano, 2009. "Recent Advances in Credit Risk Modeling," IMF Working Papers 09/162, International Monetary Fund.
  24. Kanak Patel & Prodromos Vlamis, 2006. "An Empirical Estimation of Default Risk of the UK Real Estate Companies," The Journal of Real Estate Finance and Economics, Springer, vol. 32(1), pages 21-40, February.
  25. M. Hashem Pesaran & Til Schuermann & Björn-Jakob Treutler & Scott M. Weiner & April, . "Macroeconomic Dynamics and Credit Risk: A Global Perspective," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania 03-13, Wharton School Center for Financial Institutions, University of Pennsylvania.
  26. Alexis Derviz & Narcisa Kadlcakova & Lucie Kobzova, 2003. "Credit Risk, Systemic Uncertainties and Economic Capital Requirements for an Artificial Bank Loan Portfolio," Working Papers, Czech National Bank, Research Department 2003/09, Czech National Bank, Research Department.
  27. Albrecht, Peter, 2005. "Kreditrisiken - Modellierung und Management: Ein Überblick," German Risk and Insurance Review (GRIR), University of Cologne, Department of Risk Management and Insurance, vol. 1(2), pages 22-152.
  28. Rösch, Daniel & Scheule, Harald, 2009. "The Empirical Relation between Credit Quality, Recovery and Correlation," Hannover Economic Papers (HEP) dp-418, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  29. Rosenthal, Dale W.R., 2008. "Approximating correlated defaults," MPRA Paper 36788, University Library of Munich, Germany, revised 15 Feb 2012.
  30. Kenneth A. Froot & Jeremy C. Stein, 1996. "Risk Management, Capital Budgeting and Capital Structure Policy for Financial Institutions: An Integrated Approach," NBER Working Papers 5403, National Bureau of Economic Research, Inc.
  31. Cho-Jieh Chen & Harry Panjer, 2009. "A bridge from ruin theory to credit risk," Review of Quantitative Finance and Accounting, Springer, vol. 32(4), pages 373-403, May.
  32. Anja Richter & Josef Teichmann, 2014. "Discrete Time Term Structure Theory and Consistent Recalibration Models," Papers 1409.1830, arXiv.org.
  33. Qiang Dai & Kenneth Singleton, 2003. "Term Structure Dynamics in Theory and Reality," Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 631-678, July.
  34. Carlos González-Aguado & Max Bruche, 2006. "Recovery Rates, Default Probabilities and the Credit Cycle," FMG Discussion Papers, Financial Markets Group dp572, Financial Markets Group.
  35. Zheng, Harry, 2006. "Interaction of credit and liquidity risks: Modelling and valuation," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 391-407, February.
  36. repec:hal:journl:halshs-00179325 is not listed on IDEAS
  37. Erik Schlögl & Lutz Schlögl, 2007. "Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 190, Quantitative Finance Research Centre, University of Technology, Sydney.
  38. Chunsheng Zhou, 1997. "A jump-diffusion approach to modeling credit risk and valuing defaultable securities," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 1997-15, Board of Governors of the Federal Reserve System (U.S.).
  39. Brock Johnson & Jonathan Batten, 2003. "Forecasting Credit Spread Volatility: Evidence from the Japanese Eurobond Market," Asia-Pacific Financial Markets, Springer, vol. 10(4), pages 335-357, December.
  40. Tim Leung & Peng Liu, 2011. "Risk Premia and Optimal Liquidation of Credit Derivatives," Papers 1110.0220, arXiv.org, revised Oct 2012.
  41. Michael C. M\"unnix & Rudi Sch\"afer & Thomas Guhr, 2011. "A Random Matrix Approach to Credit Risk," Papers 1102.3900, arXiv.org, revised Jun 2011.
  42. Hayette Gatfaoui, 2003. "From Fault Tree to Credit Risk Assessment: An Empirical Attempt," Risk and Insurance, EconWPA 0308003, EconWPA.
  43. Gustavo Manso, 2011. "Feedback Effects of Credit Ratings," 2011 Meeting Papers 1338, Society for Economic Dynamics.
  44. Siem Jan Koopman & Andr� Lucas, 2003. "Business and Default Cycles for Credit Risk," Tinbergen Institute Discussion Papers 03-062/2, Tinbergen Institute, revised 09 Jan 2003.
  45. Nicholas Apergis & Emmanuel Mamatzakis, 2012. "What Are the Driving Factors behind the Rise of Spreads and CDSs of Euro-area Sovereign Bonds? A FAVAR Model for Greece and Ireland," Economics Working Paper Archive wp_720, Levy Economics Institute.
  46. Su-Lien Lu & Chau-Jung Kuo, 2005. "How to gauge the credit risk of guarantee issues in a Taiwanese bills finance company: an empirical investigation using a market-based approach," Applied Financial Economics, Taylor & Francis Journals, vol. 15(16), pages 1153-1164.
  47. Alexander, Carol & Kaeck, Andreas, 2008. "Regime dependent determinants of credit default swap spreads," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 1008-1021, June.
  48. Xu, Weidong & Xu, Weijun & Li, Hongyi & Xiao, Weilin, 2012. "A jump-diffusion approach to modelling vulnerable option pricing," Finance Research Letters, Elsevier, Elsevier, vol. 9(1), pages 48-56.
  49. Jan Ericsson & Kris Jacobs & Rodolfo A. Oviedo, 2004. "The Determinants of Credit Default Swap Premia," CIRANO Working Papers 2004s-55, CIRANO.
  50. José Antonio Núñez. & Elizabeth Ortega., 2011. "Continuous Time Models of Interest Rate: Testing Peso-Dollar Exchange Rate," Economía: teoría y práctica, Economía: teoría y práctica, vol. 34(1), pages 43-63, Enero-Jun.
  51. Henry Schellhorn & Didier Cossin, 2004. "Credit Risk in a Network Economy," FAME Research Paper Series, International Center for Financial Asset Management and Engineering rp106, International Center for Financial Asset Management and Engineering.
  52. 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.
  53. Alain Capiez, 2000. "Evaluation du crédit-bail et risque de crédit," Post-Print halshs-00587435, HAL.
  54. C. N. V. Krishnan & P. H. Ritchken & J. B. Thomson, 2003. "Monitoring and controlling bank risk: does risky debt serve any purpose?," Working Paper 0301, Federal Reserve Bank of Cleveland.
  55. Downing, Chris & Stanton, Richard & Wallace, Nancy E., 2003. "An Empirical Test of a Two-Factor Mortgage Valuation Model: How Much Do House Prices Matter?," Research Program in Finance, Working Paper Series, Research Program in Finance, Institute for Business and Economic Research, UC Berkeley qt2qb613r5, Research Program in Finance, Institute for Business and Economic Research, UC Berkeley.
  56. Jarrow, Robert & Li, Haitao & Liu, Sheen & Wu, Chunchi, 2010. "Reduced-form valuation of callable corporate bonds: Theory and evidence," Journal of Financial Economics, Elsevier, Elsevier, vol. 95(2), pages 227-248, February.
  57. Roberto Casarin, 2005. "Stochastic Processes in Credit Risk Modelling," Working Papers, University of Brescia, Department of Economics ubs0505, University of Brescia, Department of Economics.
  58. Tom Fischer, 2010. "No-arbitrage pricing under cross-ownership," Papers 1005.0768, arXiv.org.
  59. Kim, Dong H. & Stock, Duane, 2014. "The effect of interest rate volatility and equity volatility on corporate bond yield spreads: A comparison of noncallables and callables," Journal of Corporate Finance, Elsevier, Elsevier, vol. 26(C), pages 20-35.
  60. 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, Wharton School Center for Financial Institutions, University of Pennsylvania 01-25, Wharton School Center for Financial Institutions, University of Pennsylvania.
  61. Hayne E. Leland, 1998. "Agency Costs, Risk Management, and Capital Structure," Journal of Finance, American Finance Association, American Finance Association, vol. 53(4), pages 1213-1243, 08.
  62. Steinbacher, Matjaz & Steinbacher, Mitja & Steinbacher, Matej, 2013. "Credit Contagion in Financial Markets: A Network-Based Approach," MPRA Paper 49616, University Library of Munich, Germany.
  63. Frank Skinner & Antonio Diaz, 2001. "On modelling credit risk using Arbitrage Free Models," ICMA Centre Discussion Papers in Finance icma-dp2000-08, Henley Business School, Reading University, revised Mar 2000.
  64. Robert Jarrow & Jeff Oxman & Yildiray Yildirim, 2010. "The cost of operational risk loss insurance," Review of Derivatives Research, Springer, vol. 13(3), pages 273-295, October.
  65. Scott D. Aguais & Anthony M. Santomero, 1997. "Incorporating New Fixed Income Approaches into Commercial Loan Valuation," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania 98-06, Wharton School Center for Financial Institutions, University of Pennsylvania.
  66. Biao Guo & Qian Han & Doojin Ryu, 2013. "The Number of State Variables for CDS Pricing," Papers 2013-10-14, Working Paper.
  67. Castrén, Olli & Dées, Stéphane & Zaher, Fadi, 2008. "Global macro-financial shocks and expected default frequencies in the euro area," Working Paper Series 0875, European Central Bank.
  68. Adrian Cantemir CALIN & Oana Cristina POPOVICI, 2014. "Modeling Credit Risk Through Credit Scoring," Internal Auditing and Risk Management, Athenaeum University of Bucharest, vol. 2(34), pages 99-109, June.
  69. Bruneau, C. & de Bandt, O. & El Amri, W., 2012. "Macroeconomic fluctuations and corporate financial fragility," Journal of Financial Stability, Elsevier, Elsevier, vol. 8(4), pages 219-235.
  70. Jiri Hoogland & Dimitri Neumann & Michel Vellekoop, 2002. "Symmetries in Jump-Diffusion Models with Applications in Option Pricing and Credit Risk," Finance, EconWPA 0203001, EconWPA.
  71. Gann, Philipp, 2008. "Der Internal Capital Adequacy Assessment Process als regulatorischer Treiber eines aktiven Kreditportfoliomanagements," Discussion Papers in Business Administration, University of Munich, Munich School of Management 4831, University of Munich, Munich School of Management.
  72. Peter Christoffersen & Kris Jacobs & Xisong Jin & Hugues Langlois, 2013. "Dynamic Diversification in Corporate Credit," CREATES Research Papers 2013-46, School of Economics and Management, University of Aarhus.
  73. Carl Chiarella & Samuel Chege Maina & Christina Nikitopoulos-Sklibosios, 2010. "Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 283, Quantitative Finance Research Centre, University of Technology, Sydney.
  74. 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, vol. 29(3), pages 211-235, June.
  75. Carl Chiarella & Viviana Fanelli & Silvana Musti, 2008. "Modelling the Evolution of Credit Spreads using the Cox Process within the HUM Framework: A CDS Option Pricing Model," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 232, Quantitative Finance Research Centre, University of Technology, Sydney.
  76. Antulio N. Bomfim, 2001. "Understanding credit derivatives and their potential to synthesize riskless assets," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2001-50, Board of Governors of the Federal Reserve System (U.S.).
  77. Georges Dionne & Sadok Laajimi & Sofiane Mejri & Madalina Petrescu, 2006. "Estimation of the Default Risk of Publicly Traded Canadian Companies," Working Papers 06-28, Bank of Canada.
  78. Nathalie Rey, 2009. "Credit derivatives: instruments of hedging and factors of instability. The example of ?Credit Default Swaps? on French reference entities," Papers 0911.4039, arXiv.org.
  79. Dominique Guegan & Julien Houdain, 2006. "Hedging tranches index products : illustration of model dependency," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00179325, HAL.
  80. Dunbar, Kwamie & Amin, Abu S., 2012. "Credit risk dynamics in response to changes in the federal funds target: The implication for firm short-term debt," Review of Financial Economics, Elsevier, Elsevier, vol. 21(3), pages 141-152.
  81. Max Bruche, 2005. "Estimating structural bond pricing models via simulated maximum likelihood," LSE Research Online Documents on Economics 24647, London School of Economics and Political Science, LSE Library.
  82. Haibin Zhu, 2004. "An empirical comparison of credit spreads between the bond market and the credit default swap market," BIS Working Papers 160, Bank for International Settlements.
  83. Philipp J. Schönbucher, 2000. "A Libor Market Model with Default Risk," Bonn Econ Discussion Papers, University of Bonn, Germany bgse15_2001, University of Bonn, Germany.
  84. Diana Bonfim, 2006. "Credit Risk Drivers: Evaluating the Contribution of Firm Level Information and of Macroeconomic Dynamics," Economic Bulletin and Financial Stability Report Articles, Banco de Portugal, Economics and Research Department.
  85. Banu Simmons-Süer, 2013. "Forecasting High-Yield Bond Spreads Using the Loan Market as Leading Indicator," KOF Working papers 13-328, KOF Swiss Economic Institute, ETH Zurich.
  86. Susan S Sharma & Kannan Thuraisamy, 2012. "Oil Price Uncertainty and Sovereign Risk: Evidence from Asian Economies," Financial Econometics Series 2012_02, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  87. Anderson, Ronald & Sundaresan, Suresh, 1998. "A Comparative Study of Structural Models of Corporate Bond Yields: An Exploratory Investigation," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 1999009, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), revised 00 Jan 1999.
  88. Cangemi, Robert R. & Mason, Joseph R. & Pagano, Michael S., 2012. "Options-based structural model estimation of bond recovery rates," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 21(3), pages 473-506.
  89. Luciano Campi & Umut Çetin, 2007. "Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling," Finance and Stochastics, Springer, vol. 11(4), pages 591-602, October.
  90. Alejandro Revéiz Hérault, 2002. "Factores determinantes de los márgenes entre bonos del gobierno y bonos corporativos en los Estados Unidos," LECTURAS EN FINANZAS 002710, BANCO DE LA REPÚBLICA.
  91. Robert A. Jarrow, 1999. "In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World," Journal of Economic Perspectives, American Economic Association, vol. 13(4), pages 229-248, Fall.
  92. Giesecke, Kay & Weber, Stefan, 2006. "Credit contagion and aggregate losses," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 30(5), pages 741-767, May.
  93. Colin Lizieri & Gianluca Marcato & Paul Ogden & Andrew Baum, 2012. "Pricing Inefficiencies in Private Real Estate Markets Using Total Return Swaps," The Journal of Real Estate Finance and Economics, Springer, vol. 45(3), pages 774-803, October.
  94. Regis Houssou & Olivier Besson, 2010. "Indifference of Defaultable Bonds with Stochastic Intensity models," Papers 1003.4118, arXiv.org.
  95. Junbo Wang & Chunchi Wu & Frank Zhang, 2005. "Liquidity, default, taxes and yields on municipal bonds," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2005-35, Board of Governors of the Federal Reserve System (U.S.).
  96. 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.
  97. Verónica P. Rodríguez Vázquez & Japhet Hernández Vaquero, 2013. "Matriz de probabilidad de transición de microcréditos: el caso de una microfinanciera mexicana," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 28(1), pages 39-77.
  98. Cossin, Didier & Pirotte, Hugues, 1997. "Swap credit risk: An empirical investigation on transaction data," Journal of Banking & Finance, Elsevier, vol. 21(10), pages 1351-1373, October.
  99. Chen, Cho-Jieh & Panjer, Harry, 2003. "Unifying discrete structural models and reduced-form models in credit risk using a jump-diffusion process," Insurance: Mathematics and Economics, Elsevier, vol. 33(2), pages 357-380, October.
  100. Lin, William & Sun, David, 2006. "Diversification with idiosyncratic credit spreads: a pooled estimation on heterogeneous panels," MPRA Paper 37288, University Library of Munich, Germany, revised Jun 2007.
  101. Gikhman, Ilya, 2008. "Risky Swaps," MPRA Paper 7078, University Library of Munich, Germany, revised 31 Mar 2008.
  102. Hisashi Nakamura, 2007. "Strategic Default Jump as Impulse Control in Continuous Time," CIRJE F-Series CIRJE-F-532, CIRJE, Faculty of Economics, University of Tokyo.
  103. Antje Berndt & Robert Jarrow & ChoongOh Kang, 2006. "Restructuring Risk in Credit Default Swaps: An Empirical Analysis," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business 2006-E30, Carnegie Mellon University, Tepper School of Business.
  104. Duffee, Gregory R, 1999. "Estimating the Price of Default Risk," Review of Financial Studies, Society for Financial Studies, vol. 12(1), pages 197-226.
  105. Giesecke, Kay & Longstaff, Francis A. & Schaefer, Stephen & Strebulaev, Ilya, 2011. "Corporate bond default risk: A 150-year perspective," Journal of Financial Economics, Elsevier, Elsevier, vol. 102(2), pages 233-250.
  106. Xiao, Tim, 2013. "The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling," MPRA Paper 47136, University Library of Munich, Germany.
  107. de Andrade, Fabio Wendling Muniz & Thomas, Lyn, 2007. "Structural models in consumer credit," European Journal of Operational Research, Elsevier, Elsevier, vol. 183(3), pages 1569-1581, December.
  108. Lucas, Andre & Klaassen, Pieter, 2006. "Discrete versus continuous state switching models for portfolio credit risk," Journal of Banking & Finance, Elsevier, vol. 30(1), pages 23-35, January.
  109. Thomas, Lyn C. & Allen, David E. & Morkel-Kingsbury, Nigel, 2002. "A hidden Markov chain model for the term structure of bond credit risk spreads," International Review of Financial Analysis, Elsevier, vol. 11(3), pages 311-329.
  110. Viviana Fanelli & Silvana Musti, 2007. "Modelling Credit Spreads evolution using the Cox Process within the HJM framework," Quaderni DSEMS, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia 27-2007, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia.
  111. Jaesun Noh, 2004. "Estimation of Credit and Default Spreads: An Application to CDO Valuation," Econometric Society 2004 Far Eastern Meetings, Econometric Society 444, Econometric Society.
  112. Hervé Alexandre & Maxime Merli, 2000. "Rating and Spread:The French Market before Euro," Working Papers CREGO 1000304, Université de Bourgogne - CREGO EA7317 Centre de recherches en gestion des organisations, revised Sep 2002.
  113. Peter Carr & Vadim Linetsky, 2006. "A jump to default extended CEV model: an application of Bessel processes," Finance and Stochastics, Springer, vol. 10(3), pages 303-330, September.
  114. Ramaprasad Bhar & Nedim Handzic, 2011. "A Multifactor Model of Credit Spreads," Asia-Pacific Financial Markets, Springer, vol. 18(1), pages 105-127, March.
  115. Liu, Jun & Longstaff, Francis A. & Mandell, Ravit E., 2000. "The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads," University of California at Los Angeles, Anderson Graduate School of Management qt0zw4f9w6, Anderson Graduate School of Management, UCLA.
  116. Gatzert, Nadine & Martin, Michael, 2012. "Quantifying credit and market risk under Solvency II: Standard approach versus internal model," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 649-666.
  117. Xu, Ruxing & Li, Shenghong, 2010. "Belief updating, debt pricing and financial decisions under asymmetric information," Research in International Business and Finance, Elsevier, Elsevier, vol. 24(2), pages 123-137, June.
  118. Olivier Le Courtois & François Quittard-Pinon, 2008. "The optimal capital structure of the firm with stable Lévy assets returns," Decisions in Economics and Finance, Springer, vol. 31(1), pages 51-72, May.
  119. Lung-Fu Chang & Mao-Wei Hung, 2006. "Valuation of vulnerable American options with correlated credit risk," Review of Derivatives Research, Springer, vol. 9(2), pages 137-165, September.
  120. Hamerle, Alfred & Knapp, Michael & Wildenauer, Nicole, 2005. "Auswirkungen unterschiedlicher Assetkorrelationen in Mehr-Sektoren-Kreditportfoliomodellen," University of Regensburg Working Papers in Business, Economics and Management Information Systems 409, University of Regensburg, Department of Economics.
  121. Babbel, David F. & Merrill, Craig & Panning, William, 1995. "Default risk and the effective duration of bonds," Policy Research Working Paper Series 1511, The World Bank.
  122. Kraft, Holger & Steffensen, Mogens, 2008. "How to invest optimally in corporate bonds: A reduced-form approach," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 32(2), pages 348-385, February.
  123. En-Der Su & Shih-Ming Huang, 2010. "Comparing Firm Failure Predictions Between Logit, KMV, and ZPP Models: Evidence from Taiwan’s Electronics Industry," Asia-Pacific Financial Markets, Springer, vol. 17(3), pages 209-239, September.
  124. Li Chen & H. Vincent Poor, 2003. "Credit Risk Modeling and the Term Structure of Credit Spreads," Finance, EconWPA 0312009, EconWPA.
  125. Vicky Henderson & Gechun Liang, 2011. "A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk," Papers 1111.3856, arXiv.org, revised May 2014.
  126. Christa Cuchiero & Claudio Fontana & Alessandro Gnoatto, 2014. "A general HJM framework for multiple yield curve modeling," Papers 1406.4301, arXiv.org.
  127. Zinna, Gabriele, 2013. "Sovereign default risk premia: Evidence from the default swap market," Journal of Empirical Finance, Elsevier, Elsevier, vol. 21(C), pages 15-35.
  128. Allen, Linda & DeLong, Gayle & Saunders, Anthony, 2004. "Issues in the credit risk modeling of retail markets," Journal of Banking & Finance, Elsevier, vol. 28(4), pages 727-752, April.
  129. Gai, Prasanna & Shin, Hyun Song, 2004. "Debt maturity structure with pre-emptive creditors," Economics Letters, Elsevier, vol. 85(2), pages 195-200, November.
  130. Giampaolo Gabbi & Andrea Sironi, 2005. "Which factors affect corporate bonds pricing? Empirical evidence from eurobonds primary market spreads," The European Journal of Finance, Taylor & Francis Journals, vol. 11(1), pages 59-74.
  131. Clark, Ephraim & Lakshmi, Geeta, 2004. "Sovereign debt and the cost of migration: India 1990-1992," Journal of Asian Economics, Elsevier, vol. 15(1), pages 111-134, February.
  132. Frank X. Zhang, 2003. "What did the credit market expect of Argentina default? Evidence from default swap data," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2003-25, Board of Governors of the Federal Reserve System (U.S.).
  133. Hsu, Jason C. & Saa-Requejo, Jesus & Santa-Clara, Pedro, 2003. "Bond Pricing with Default Risk," University of California at Los Angeles, Anderson Graduate School of Management qt5bb1j39q, Anderson Graduate School of Management, UCLA.
  134. Schläfer, Timo & Uhrig-Homburg, Marliese, 2014. "Is recovery risk priced?," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 257-270.
  135. Jir\^o Akahori & Yuuki Kanishi & Yuichi Morimura, 2008. "Calibration of transparency risks: a note," Papers 0804.1642, arXiv.org, revised Oct 2009.
  136. Frydman, Halina & Schuermann, Til, 2008. "Credit rating dynamics and Markov mixture models," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 1062-1075, June.
  137. Gurdip Bakshi & Dilip Madan & Frank Zhang, 2001. "Investigating the sources of default risk: lessons from empirically evaluating credit risk models," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2001-15, Board of Governors of the Federal Reserve System (U.S.).
  138. Campbell-Pownall, R.A.J. & Huisman, R., 2002. "Measuring Credit Spread Risk," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasm ERS-2002-95-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  139. Overbeck, Ludger & Schmidt, Wolfgang M., 2003. "Modeling default dependence with threshold models," Frankfurt School - Working Paper Series 41, Frankfurt School of Finance and Management.
  140. Weißbach, Rafael, 2004. "A rule of thumb for the economic capital of a large credit portfolio," Technical Reports 2004,58, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  141. Viviana Fanelli & Silvana Musti, 2007. "Pricing of CDS Options with the HJM approach: a Numerical Implementation," Quaderni DSEMS, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia 26-2007, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia.
  142. Maclachlan, Iain C, 2007. "An empirical study of corporate bond pricing with unobserved capital structure dynamics," MPRA Paper 28416, University Library of Munich, Germany.
  143. Hamerle, Alfred & Liebig, Thilo & Rösch, Daniel, 2003. "Credit Risk Factor Modeling and the Basel II IRB Approach," Discussion Paper Series 2: Banking and Financial Studies 2003,02, Deutsche Bundesbank, Research Centre.
  144. Chen, Chang-Chih & Shyu, So-De & Yang, Chih-Yuan, 2011. "Counterparty effects on capital structure decision in incomplete market," Economic Modelling, Elsevier, vol. 28(5), pages 2181-2189, September.
  145. Philipp J. Schönbucher, 2000. "A Tree Implementation of a Credit Spread Model for Credit Derivatives," Bonn Econ Discussion Papers, University of Bonn, Germany bgse17_2001, University of Bonn, Germany.
  146. Andreas A. Jobst, 2002. "Loan securitisation: default term structure and asset pricing based on loss prioritisation," LSE Research Online Documents on Economics 24941, London School of Economics and Political Science, LSE Library.
  147. Xin Guo & Robert Jarrow & Haizhi Lin, 2008. "Distressed debt prices and recovery rate estimation," Review of Derivatives Research, Springer, vol. 11(3), pages 171-204, October.
  148. Jafry, Yusuf & Schuermann, Til, 2004. "Measurement, estimation and comparison of credit migration matrices," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2603-2639, November.
  149. Bank for International Settlements, 2011. "Portfolio and risk management for central banks and sovereign wealth funds," BIS Papers, Bank for International Settlements, number 58.
  150. João Fernandes, 2005. "Corporate Credit Risk Modeling: Quantitative Rating System And Probability Of Default Estimation," Finance, EconWPA 0505013, EconWPA.
  151. Maximiano Pinheiro, 2012. "Market perception of fiscal sustainability: An application to the largest euro area economies," Working Papers w201209, Banco de Portugal, Economics and Research Department.
  152. Umut \c{C}etin, 2012. "On absolutely continuous compensators and nonlinear filtering equations in default risk models," Papers 1205.1154, arXiv.org.
  153. Taguedong, Sylvain Chamberlain, 2009. "Behavioral approach to market and default risks modeling," MPRA Paper 20641, University Library of Munich, Germany.
  154. Lindset, Snorre & Lund, Arne-Christian & Persson, Svein-Arne, 2008. "Credit Spreads and Incomplete Information," Discussion Papers 2008/9, Department of Business and Management Science, Norwegian School of Economics.
  155. Francis A. Longstaff & Sanjay Mithal & Eric Neis, 2004. "Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market," NBER Working Papers 10418, National Bureau of Economic Research, Inc.
  156. Mariano Cané de Estrada & Elsa Cortina & Constantino FontÁn & Javier Fiori, 2005. "Pricing of Defaultable Bonds with Log-Normal Spread: Development of the Model and an Application to Argentinean and Brazilian Bonds During the Argentine Crisis," Review of Derivatives Research, Springer, vol. 8(1), pages 49-60, June.
  157. Ilya, Gikhman, 2007. "Corporate debt pricing I," MPRA Paper 1450, University Library of Munich, Germany.
  158. Tasca, Paolo & Battiston, Stefano, 2013. "Market Procyclicality and Systemic Risk," MPRA Paper 45156, University Library of Munich, Germany, revised Mar 2013.
  159. Andre Lucas & Bastiaan Verhoef, 2012. "Aggregating Credit and Market Risk: The Impact of Model Specification," Tinbergen Institute Discussion Papers 12-057/2/DSF36, Tinbergen Institute.
  160. Morini, Massimo & Prampolini, Andrea, 2010. "Risky funding: a unified framework for counterparty and liquidity risk," MPRA Paper 23555, University Library of Munich, Germany.
  161. Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu & Harry Zheng, 2012. "On Pricing Basket Credit Default Swaps," Papers 1204.4025, arXiv.org.
  162. Ieda, Akira & Ohba, Toshikazu, 1999. "Risk Management for Equity Portfolios of Japanese Banks," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, Institute for Monetary and Economic Studies, Bank of Japan, vol. 17(2), pages 91-117, August.
  163. Maciej Firla-Cuchra, 2005. "Explaining Launch Spreads on Structured Bonds," Economics Series Working Papers 230, University of Oxford, Department of Economics.
  164. Edward I. Altman & Andrea Resti & Andrea Sironi, 2002. "The link between default and recovery rates: effects on the procyclicality of regulatory capital ratios," BIS Working Papers 113, Bank for International Settlements.
  165. Abel Elizalde, 2006. "Credit Risk Models I: Default Correlation In Intensity Models," Working Papers, CEMFI wp2006_0605, CEMFI.
  166. Chava, Sudheer & Jarrow, Robert, 2008. "Modeling loan commitments," Finance Research Letters, Elsevier, Elsevier, vol. 5(1), pages 11-20, March.
  167. Castrén, Olli & Dées, Stéphane & Zaher, Fadi, 2010. "Stress-testing euro area corporate default probabilities using a global macroeconomic model," Journal of Financial Stability, Elsevier, Elsevier, vol. 6(2), pages 64-78, June.
  168. Keiler, Sebastian & Eder, Armin, 2013. "CDS spreads and systemic risk: A spatial econometric approach," Discussion Papers 01/2013, Deutsche Bundesbank, Research Centre.
  169. Acharya, Viral V & Carpenter, Jennifer, 2002. "Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy," CEPR Discussion Papers 3328, C.E.P.R. Discussion Papers.
  170. James Kau & Donald Keenan & Alexey Smurov, 2006. "Reduced Form Mortgage Pricing as an Alternative to Option-Pricing Models," The Journal of Real Estate Finance and Economics, Springer, vol. 33(3), pages 183-196, November.
  171. Stephan Dieckmann & Michael Gallmeyer, 2006. "Pricing Rare Event Risk in Emerging Markets," 2006 Meeting Papers, Society for Economic Dynamics 305, Society for Economic Dynamics.
  172. Roger WALDER, 2002. "Interactions Between Market and Credit Risk: Modeling the Joint Dynamics of Default-Free and Defaultable Bond Term Structures," FAME Research Paper Series, International Center for Financial Asset Management and Engineering rp56, International Center for Financial Asset Management and Engineering.
  173. Jarrow, Robert A., 2011. "Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate," Finance Research Letters, Elsevier, Elsevier, vol. 8(1), pages 2-7, March.
  174. Livingston, Miles & Naranjo, Andy & Zhou, Lei, 2008. "Split bond ratings and rating migration," Journal of Banking & Finance, Elsevier, vol. 32(8), pages 1613-1624, August.
  175. Kannan Thuraisamy & Gerry Gannon & Jonathan A. Batten, 2007. "Credit Spread Dynamics: Evidence from Latin America," Accounting, Finance, Financial Planning and Insurance Series, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance 2007_13, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  176. Hisashi Nakamura, 2007. "A Continuous-Time Analysis of Optimal Debt Contracts: Theory and Applications," 2007 Meeting Papers, Society for Economic Dynamics 230, Society for Economic Dynamics.
  177. Abaffy, J. & Bertocchi, M. & Dupacova, J. & Moriggia, V. & Consigli, G., 2007. "Pricing nondiversifiable credit risk in the corporate Eurobond market," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2233-2263, August.
  178. Hervé Alexandre & Maxime Merli, 2003. "Notations et écarts de rentabilité:le marché français avant l'euro," Revue Finance Contrôle Stratégie, revues.org, revues.org, vol. 6(3), pages 5-22, September.
  179. Tsung-Kang Chen & Hsien-Hsing Liao & Chia-Wu Lu, 2011. "A flow-based corporate credit model," Review of Quantitative Finance and Accounting, Springer, vol. 36(4), pages 517-532, May.
  180. Wilson Sy, 2007. "A Causal Framework for Credit Default Theory," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 204, Quantitative Finance Research Centre, University of Technology, Sydney.
  181. Dötz, Niko & Fischer, Christoph, 2010. "What can EMU countries' sovereign bond spreads tell us about market perceptions of default probabilities during the recent financial crisis?," Discussion Paper Series 1: Economic Studies 2010,11, Deutsche Bundesbank, Research Centre.
  182. Augusto Castillo, 2004. "Firm and Corporate Bond Valuation: A Simulation Dynamic Programming Approach," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 41(124), pages 345-360.
  183. Yildirim, Yildiray, 2006. "Modeling default risk: A new structural approach," Finance Research Letters, Elsevier, Elsevier, vol. 3(3), pages 165-172, September.
  184. Grenadier, Steven R., 1996. "Leasing and credit risk," Journal of Financial Economics, Elsevier, Elsevier, vol. 42(3), pages 333-364, November.
  185. Yiran Sheng, 2013. "Valuing FtD Contract under Copula Approach via Monte-Carlo Stimulation," Papers 1310.6819, arXiv.org.
  186. Das, Sanjiv R. & Hanouna, Paul & Sarin, Atulya, 2009. "Accounting-based versus market-based cross-sectional models of CDS spreads," Journal of Banking & Finance, Elsevier, vol. 33(4), pages 719-730, April.
  187. Guarin, Alexander & Liu, Xiaoquan & Ng, Wing Lon, 2014. "Recovering default risk from CDS spreads with a nonlinear filter," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 38(C), pages 87-104.
  188. Ricardo Selves & Marcin Stamirowski, 2011. "Including linkers in a sovereign bond portfolio: an HJM approach," BIS Papers chapters, in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 111-137 Bank for International Settlements.
  189. Bhanot, Karan, 2005. "What causes mean reversion in corporate bond index spreads? The impact of survival," Journal of Banking & Finance, Elsevier, vol. 29(6), pages 1385-1403, June.
  190. Jobst, Andreas A., 2002. "The Pricing puzzle: The default term structure of collateralised loan obligations," CFS Working Paper Series 2002/14, Center for Financial Studies (CFS).
  191. Klein, Peter, 1996. "Pricing Black-Scholes options with correlated credit risk," Journal of Banking & Finance, Elsevier, vol. 20(7), pages 1211-1229, August.
  192. Giesecke, Kay, 2006. "Default and information," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 30(11), pages 2281-2303, November.
  193. Björk, Tomas & Näslund, Bertil, 1996. "Diversified Portfolios in Continuous Time," Working Paper Series in Economics and Finance 122, Stockholm School of Economics.
  194. repec:hal:wpaper:hal-00433883 is not listed on IDEAS
  195. Jarrow, Robert A., 2004. "Risky coupon bonds as a portfolio of zero-coupon bonds," Finance Research Letters, Elsevier, Elsevier, vol. 1(2), pages 100-105, June.
  196. Gang-Zhi Fan & Tien Sing & Seow Ong, 2012. "Default Clustering Risks in Commercial Mortgage-Backed Securities," The Journal of Real Estate Finance and Economics, Springer, vol. 45(1), pages 110-127, June.
  197. James Kau & Donald Keenan & Yildiray Yildirim, 2009. "Estimating Default Probabilities Implicit in Commercial Mortgage Backed Securities (CMBS)," The Journal of Real Estate Finance and Economics, Springer, vol. 39(2), pages 107-117, August.
  198. Xiao, Tim, 2013. "An Accurate Solution for Credit Value Adjustment (CVA) and Wrong Way Risk," MPRA Paper 47104, University Library of Munich, Germany.
  199. Nystrom, Kaj & Skoglund, Jimmy, 2006. "A credit risk model for large dimensional portfolios with application to economic capital," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2163-2197, August.
  200. Claudio, Ferrarese, 2006. "A comparative analysis of correlation skew modeling techniques for CDO index tranches," MPRA Paper 1668, University Library of Munich, Germany.
  201. Lindset, Snorre & Lund, Arne-Christian & Persson, Svein-Arne, 2014. "Credit risk and asymmetric information: A simplified approach," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 39(C), pages 98-112.
  202. Tao Sun, 2011. "Identifying Vulnerabilities in Systemically-Important Financial Institutions in a Macro-Financial Linkages Framework," IMF Working Papers 11/111, International Monetary Fund.
  203. 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.
  204. Nicholas Apergis & Emmanuel Mamatzakis & Christos Staikouras, 2011. "Testing for Regime Changes in Greek Sovereign Debt Crisis," International Advances in Economic Research, International Atlantic Economic Society, vol. 17(3), pages 258-273, August.
  205. Oda, Nobuyuki & Muranaga, Jun, 1997. "A New Framework for Measuring the Credit Risk of a Portfolio: The "ExVaR" Model," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, Institute for Monetary and Economic Studies, Bank of Japan, vol. 15(2), pages 27-62, December.
  206. Hongming Huang & Yildiray Yildirim, 2008. "Leverage, options liabilities, and corporate bond pricing," Review of Derivatives Research, Springer, vol. 11(3), pages 245-276, October.
  207. Hugues Pirotte, 1999. "Implementing a Structural Valuation Model of Swap Credit-Sensitive Rates," Working Papers CEB, ULB -- Universite Libre de Bruxelles 99-001.RS, ULB -- Universite Libre de Bruxelles.
  208. R. Jarrow & A. Purnanandam, 2007. "The valuation of a firm’s investment opportunities: a reduced form credit risk perspective," Review of Derivatives Research, Springer, vol. 10(1), pages 39-58, January.
  209. Delianedis, Gordon & Geske, Robert, 1998. "Credit Risk and Risk Neutral Default Probabilities: Information About Migrations and Defaults," University of California at Los Angeles, Anderson Graduate School of Management qt7dm2d31p, Anderson Graduate School of Management, UCLA.
  210. Jeremy Leake, 2003. "Credit spreads on sterling corporate bonds and the term structure of UK interest rates," Bank of England working papers 202, Bank of England.
  211. repec:wyi:journl:002109 is not listed on IDEAS
  212. Ephraim Clark & Geeta Lakshmi, 2003. "Controlling the risk: a case study of the Indian liquidity crisis 1990-92," Journal of International Development, John Wiley & Sons, Ltd., vol. 15(3), pages 285-298.
  213. Sebastian Heise & Reimer Kuehn, 2012. "Derivatives and Credit Contagion in Interconnected Networks," Papers 1202.3025, arXiv.org.
  214. Das, Sanjiv R. & Hanouna, Paul, 2009. "Implied recovery," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 33(11), pages 1837-1857, November.
  215. 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.
  216. Koichi Matsumoto, 2003. "Implied Default Probability and Credit Derivatives," Asia-Pacific Financial Markets, Springer, vol. 10(2), pages 129-149, September.
  217. Ephraim Clark & Radu Tunaru, 2003. "Quantification of political risk with multiple dependent sources," Journal of Economics and Finance, Springer, vol. 27(2), pages 125-135, June.
  218. Esteghamat, Kian, 2003. "A boundary crossing model of counterparty risk," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 27(10), pages 1771-1799, August.
  219. Figlewski, Stephen & Frydman, Halina & Liang, Weijian, 2012. "Modeling the effect of macroeconomic factors on corporate default and credit rating transitions," International Review of Economics & Finance, Elsevier, vol. 21(1), pages 87-105.
  220. Marcel Peter & Martín Grandes, 2005. "How Important is Sovereign Risk in Determining Corporate Default Premia? the Case of South Africa," IMF Working Papers 05/217, International Monetary Fund.
  221. Arthur M. Berd, 2009. "A Guide to Modeling Credit Term Structures," Papers 0912.4623, arXiv.org, revised Dec 2009.
  222. Didier Cossin & Tomas Hricko & Daniel Aunon-Nerin & Zhijiang Huang, 2002. "Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets’ Information Suffcient to Evaluate Credit Risk?," FAME Research Paper Series, International Center for Financial Asset Management and Engineering rp65, International Center for Financial Asset Management and Engineering.
  223. Masakazu Miura & Kenichiro Tamaki & Takayuki Shiohama, 2013. "Asymptotic Expansion for Term Structures of Defaultable Bonds with Non-Gaussian Dependent Innovations," Asia-Pacific Financial Markets, Springer, vol. 20(4), pages 311-344, November.
  224. Dragon Tang & Hong Yan, 2006. "Macroeconomic Conditions, Firm Characteristics, and Credit Spreads," Journal of Financial Services Research, Springer, vol. 29(3), pages 177-210, June.
  225. Fruhwirth, Manfred, 2001. "A pricing model for secondary market yield based floating rate notes subject to default risk," European Journal of Operational Research, Elsevier, Elsevier, vol. 135(2), pages 233-248, December.
  226. Episcopos, Athanasios, 2004. "The implied reserves of the Bank Insurance Fund," Journal of Banking & Finance, Elsevier, vol. 28(7), pages 1617-1635, July.
  227. Jun Yang, 2008. "Macroeconomic Determinants of the Term Structure of Corporate Spreads," Working Papers 08-29, Bank of Canada.
  228. Zvika Afik & Ohad Arad & Koresh Galil, 2012. "Using Merton model: an empirical assessment of alternatives," Working Papers, Ben-Gurion University of the Negev, Department of Economics 1202, Ben-Gurion University of the Negev, Department of Economics.
  229. Frank Skinner & Benton E. Gup & Michael Ioannides & Doowoo Nam, 2001. "Modelling Retail Deposit Spreads in the UK," ICMA Centre Discussion Papers in Finance icma-dp2001-02, Henley Business School, Reading University.
  230. Sun, David & Lin, William & Nieh, Chien-Chung, 2007. "Long run credit risk diversification: empirical decomposition of corporate bond spreads," MPRA Paper 37283, University Library of Munich, Germany, revised Jul 2008.
  231. Maltritz, Dominik & Molchanov, Alexander, 2013. "Analyzing determinants of bond yield spreads with Bayesian Model Averaging," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5275-5284.
  232. Duffie, Darrell, 2003. "Intertemporal asset pricing theory," Handbook of the Economics of Finance, Elsevier, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 11, pages 639-742 Elsevier.
  233. Kwamie Dunbar, . "An Empirical Review of United States Corporate Default Swap Valuation: The Implications of Functional Forms," Fordham Economics Dissertations, Fordham University, Department of Economics, number 2005.2, spring.
  234. 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.
  235. Manso, Gustavo, 2013. "Feedback effects of credit ratings," Journal of Financial Economics, Elsevier, Elsevier, vol. 109(2), pages 535-548.
  236. Liang, Xue & Wang, Guojing, 2012. "On a reduced form credit risk model with common shock and regime switching," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 567-575.
  237. Celso Brunetti & Alessio Caldarera, 2006. "Asset Prices and asset Correlations in Illiquid Markets," Computing in Economics and Finance 2006 331, Society for Computational Economics.
  238. Zorana Grbac & Antonis Papapantoleon, 2012. "A tractable LIBOR model with default risk," Papers 1202.0587, arXiv.org, revised Oct 2012.
  239. Til Schuermann & Yusuf Jafry, 2003. "Measurement and Estimation of Credit Migration Matrices," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania 03-08, Wharton School Center for Financial Institutions, University of Pennsylvania.
  240. Gurdip Bakshi & Dilip Madan & Frank Zhang, 2001. "Understanding the role of recovery in default risk models: empirical comparisons and implied recovery rates," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2001-37, Board of Governors of the Federal Reserve System (U.S.).
  241. Yuanfeng Hou & Xiangrong Jin, 2002. "Optimal Investment With Default Risk," FAME Research Paper Series, International Center for Financial Asset Management and Engineering rp46b, International Center for Financial Asset Management and Engineering.
  242. Delia Coculescu & Ashkan Nikeghbali, 2008. "Hazard processes and martingale hazard processes," Papers 0807.4958, arXiv.org.
  243. Iryna V. Ivaschenko, 2003. "How Much Leverage is too Much, or Does Corporate Risk Determine the Severity of a Recession?," IMF Working Papers 03/3, International Monetary Fund.
  244. Diaz Weigel, Diana & Gemmill, Gordon, 2006. "What drives credit risk in emerging markets? The roles of country fundamentals and market co-movements," Journal of International Money and Finance, Elsevier, Elsevier, vol. 25(3), pages 476-502, April.
  245. Dilip Madan & Haluk Unal, 1996. "Pricing the Risks of Default," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania 94-16, Wharton School Center for Financial Institutions, University of Pennsylvania.
  246. 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.
  247. Fred E. Benth & Geir Dahl & Carlo Mannino, 2010. "Computing optimal recovery policies for financial markets," DIS Technical Reports, Department of Computer, Control and Management Engineering, Universita' degli Studi di Roma "La Sapienza" 2010-20, Department of Computer, Control and Management Engineering, Universita' degli Studi di Roma "La Sapienza".
  248. Loncarski, I. & Horst, J.R. ter & Veld, C.H., 2006. "The Convertible Arbitrage Strategy Analyzed," Discussion Paper, Tilburg University, Center for Economic Research 2006-98, Tilburg University, Center for Economic Research.
  249. Klein, Peter & Inglis, Michael, 2001. "Pricing vulnerable European options when the option's payoff can increase the risk of financial distress," Journal of Banking & Finance, Elsevier, vol. 25(5), pages 993-1012, May.
  250. Lai, Van Son & Soumaré, Issouf, 2010. "Credit insurance and investment: A contingent claims analysis approach," International Review of Financial Analysis, Elsevier, vol. 19(2), pages 98-107, March.
  251. Greta Falavigna, 2006. "Models for Default Risk Analysis: Focus on Artificial Neural Networks, Model Comparisons, Hybrid Frameworks," CERIS Working Paper, Institute for Economic Research on Firms and Growth - Moncalieri (TO) 200610, Institute for Economic Research on Firms and Growth - Moncalieri (TO).
  252. Jochen R. Andritzky, 2004. "Implied Default Probabilities and Default Recovery Ratios: An Analysis of Argentine Eurobonds 2000-2002," Econometric Society 2004 Far Eastern Meetings, Econometric Society 500, Econometric Society.
  253. Reneby, Joel & Ericsson, Jan, 2001. "The Valuation of Corporate Liabilities: Theory and Tests," Working Paper Series in Economics and Finance 445, Stockholm School of Economics, revised 19 Dec 2002.
  254. Ming Fang & Rui Zhong, 2004. "Default Risk, Firm's Characteristics, and Risk Shifting," Yale School of Management Working Papers, Yale School of Management amz2461, Yale School of Management, revised 01 Mar 2005.
  255. Frank S. Nielsen, 2008. "Local polynomial Whittle estimation covering non-stationary fractional processes," CREATES Research Papers 2008-28, School of Economics and Management, University of Aarhus.
  256. Duffie, Darrell, 2005. "Credit risk modeling with affine processes," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2751-2802, November.
  257. Yang, Hailiang, 2003. "Ruin theory in a financial corporation model with credit risk," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 135-145, August.
  258. Thomas R. Hurd & Zhuowei Zhou, 2011. "Two-factor capital structure models for equity and credit," Papers 1110.5846, arXiv.org.
  259. Chateau, John-Peter D., 2009. "Marking-to-model credit and operational risks of loan commitments: A Basel-2 advanced internal ratings-based approach," International Review of Financial Analysis, Elsevier, vol. 18(5), pages 260-270, December.
  260. Alexandros Benos & George Papanastasopoulos, 2005. "Extending the Merton Model: A Hybrid Approach to Assessing Credit Quality," Finance, EconWPA 0505020, EconWPA, revised 03 Jun 2005.
  261. Cakir, Murat, 2001. "Credit Derivatives in Managing Off Balance Sheet Risks by Banks," MPRA Paper 55976, University Library of Munich, Germany.
  262. Steven Kou, 2000. "A Jump Diffusion Model for Option Pricing with Three Properties: Leptokurtic Feature, Volatility Smile, and Analytical Tractability," Econometric Society World Congress 2000 Contributed Papers 0062, Econometric Society.
  263. Wagner, Stephan M. & Bode, Christoph & Koziol, Philipp, 2011. "Negative default dependence in supplier networks," International Journal of Production Economics, Elsevier, Elsevier, vol. 134(2), pages 398-406, December.
  264. Kátia Rocha & Francisco A. Alcaraz Garcia, 2004. "The Term Structure of Sovereign Spreads in Emerging Markets : A calibration Approach for Structural Models," Discussion Papers 1048, Instituto de Pesquisa Econômica Aplicada - IPEA.
  265. Jiang, I-Ming & Yang, Sheng-Yung & Liu, Yu-Hong & Wang, Alan T., 2013. "Valuation of double trigger catastrophe options with counterparty risk," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 226-242.
  266. 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.
  267. Frank Zhang, 2010. "An empirical analysis of alternative recovery risk models and implied recovery rates," Review of Derivatives Research, Springer, vol. 13(2), pages 101-124, July.
  268. Gordon Gemmill, 2002. "Testing Merton's Model for Credit Spreads on Zero-Coupon Bonds," Working Papers, Warwick Business School, Finance Group wp02-08, Warwick Business School, Finance Group.
  269. Ali Bora Yigitsbasioglu & Dmitri Lvov & Naoufel El-Bachir, 2004. "Pricing Convertible Bonds by Simulation," ICMA Centre Discussion Papers in Finance icma-dp2004-14, Henley Business School, Reading University, revised Aug 2004.
  270. repec:pab:wpbsad:12.07 is not listed on IDEAS
  271. Christina Nikitopoulos-Sklibosios, 2005. "A Class of Markovian Models for the Term Structure of Interest Rates Under Jump-Diffusions," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 6, June.
  272. Niko Dotz & Christoph Fisher, 2011. "What can EMU countries' sovereign bond spreads tell us about market perceptions of default probabilities during the recent financial crisis?," Globalization and Monetary Policy Institute Working Paper 69, Federal Reserve Bank of Dallas.
  273. Karim Parra, 2010. "Factores determinantes del margen entre la deuda," REVISTA DE ECONOMÍA DEL ROSARIO, UNIVERSIDAD DEL ROSARIO.
  274. Anderson, Ronald & Sundaresan, Suresh, 2000. "A comparative study of structural models of corporate bond yields: An exploratory investigation," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 255-269, January.
  275. Michael Jacobs, Jr, 2011. "An option theoretic model for ultimate loss-given-default with systematic recovery risk and stochastic returns on defaulted debt," BIS Papers chapters, in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 257-285 Bank for International Settlements.
  276. Frank Milne, 2008. "Credit Crises, Risk Management Systems and Liquidity Modelling," Working Papers 1, John Deutsch Institute for the Study of Economic Policy.
  277. Campi, Luciano & Polbennikov, Simon & Sbuelz, Alessandro, 2009. "Systematic equity-based credit risk: A CEV model with jump to default," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 33(1), pages 93-108, January.
  278. Carol Alexander & Andreas Kaeck, 2006. "Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices," ICMA Centre Discussion Papers in Finance icma-dp2006-08, Henley Business School, Reading University.
  279. Michael G. Papaioannou, 2006. "A Primer for Risk Measurement of Bonded Debt From the Perspective of a Sovereign Debt Manager," IMF Working Papers 06/195, International Monetary Fund.
  280. Chuang-Chang Chang & Ruey-Jenn Ho & Chengfew Lee, 2010. "Pricing credit card loans with default risks: a discrete-time approach," Review of Quantitative Finance and Accounting, Springer, vol. 34(4), pages 413-438, May.
  281. Szu-Lang Liao & Hsing-Hua Huang, 2005. "Pricing Black-Scholes options with correlated interest rate risk and credit risk: an extension," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 5(5), pages 443-457.
  282. Guglielmo D’Amico & Jacques Janssen & Raimondo Manca, 2011. "Discrete Time Non-Homogeneous Semi-Markov Reliability Transition Credit Risk Models and the Default Distribution Functions," Computational Economics, Society for Computational Economics, vol. 38(4), pages 465-481, November.
  283. Hisashi Nakamura, 2007. "Strategic Default Jump as Impulse Control in Continuous Time ( Revised in February 2008 )," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo CARF-F-115, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  284. Liu, Sheen & Shi, Jian & Wang, Junbo & Wu, Chunchi, 2009. "The determinants of corporate bond yields," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 49(1), pages 85-109, February.
  285. Max Bruche, 2006. "Estimating Structural Models Of Corporate Bond Prices," Working Papers, CEMFI wp2006_0610, CEMFI.
  286. Masaaki Kijima & Teruyoshi Suzuki & Keiichi Tanaka, 2009. "A latent process model for the pricing of corporate securities," Computational Statistics, Springer, vol. 69(3), pages 439-455, July.
  287. Lotz, Christopher & Schlogl, Lutz, 2000. "Default risk in a market model," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 301-327, January.
  288. Li Chen & Damir Filipovic, 2003. "A Simple Model for Credit Migration and Spread Curves," Finance, EconWPA 0305003, EconWPA.
  289. Jesús P. Colino & Winfried Stute, 2008. "Credit risk with semimartingales and risk-neutrality," Statistics and Econometrics Working Papers, Universidad Carlos III, Departamento de Estadística y Econometría ws085417, Universidad Carlos III, Departamento de Estadística y Econometría.
  290. Sottile, Pedro, 2013. "On the political determinants of sovereign risk: Evidence from a Markov-switching vector autoregressive model for Argentina," Emerging Markets Review, Elsevier, Elsevier, vol. 15(C), pages 160-185.
  291. Mateti, Ravi S. & Hegde, Shantaram P. & Puri, Tribhuvan, 2013. "Pricing securities with multiple risks: A case of exchangeable debt," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 1018-1028.
  292. Jarrow, Robert A. & van Deventer, Donald R., 1998. "The arbitrage-free valuation and hedging of demand deposits and credit card loans," Journal of Banking & Finance, Elsevier, vol. 22(3), pages 249-272, March.