This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Citations for " A Simple Approach to Valuing Risky Fixed and Floating Rate Debt"

by Longstaff, Francis A & Schwartz, Eduardo S

For a complete description of this item, click here.
Cited by (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.):
  1. Rong Fan & Joseph Haubrich & Peter Ritchken & James Thomson, 2003. "Getting the Most Out of a Mandatory Subordinated Debt Requirement," Journal of Financial Services Research, Springer, vol. 24(2), pages 149-179, October. [Downloadable!] (restricted)
    Other versions:
  2. Dailami, Mansoor & Hauswald, Robert, 2000. "Risk shifting and long-term contracts : evidence from the Ras Gas Project," Policy Research Working Paper Series 2469, The World Bank. [Downloadable!]
  3. Marco Realdon, 2006. "Book Values and Market Values of Equity and Debt," Discussion Papers 06/11, Department of Economics, University of York. [Downloadable!]
  4. Maxime Merli & Alain Schatt, 2003. "Contagion effects of successive bond rating downgrades," Working Papers of LaRGE (Laboratoire de Recherche en Gestion et Economie) 2003-02, Laboratoire de Recherche en Gestion et Economie, Université de Strasbourg (France). [Downloadable!]
  5. Gady Jacoby & Chuan Liao & Jonathan A. Batten, 2007. "A Pure Test for the Elasticity of Yield Spreads," The Institute for International Integration Studies Discussion Paper Series iiisdp195, IIIS. [Downloadable!]
  6. Giampaolo Gabbi & Andrea Sironi, 2005. "Which factors affect corporate bonds pricing? Empirical evidence from eurobonds primary market spreads," European Journal of Finance, Taylor and Francis Journals, vol. 11(1), pages 59-74, February. [Downloadable!] (restricted)
  7. Takeshi Kimura & David H. Small, 2006. "Quantitative Monetary Easing and Risk in Financial Asset Markets," The B.E. Journal of Macroeconomics, Berkeley Electronic Press, vol. 0(1). [Downloadable!]
    Other versions:
  8. Ericsson, Jan & Reneby, Joel, 1999. "A Note on Contingent Claims Pricing with Non-Traded Assets," Working Paper Series in Economics and Finance 314, Stockholm School of Economics, revised 01 Feb 2002. [Downloadable!]
  9. Schaber, Albert, 2008. "Combination notes: market segmentation and equity transfer," Discussion Papers in Business Administration 4151, University of Munich, Munich School of Management. [Downloadable!]
  10. Dan Galai & Alon Raviv & Zvi Wiener, 2003. "Liquidation Triggers and the Valuation of Equity and Debt," Finance 0305002, EconWPA. [Downloadable!]
    Other versions:
  11. Juan Ignacio Pena & Santiago Forte, 2006. "CREDIT SPREADS: THEORY AND EVIDENCE ABOUT THE INFORMATION CONTENT OF STOCKS, BONDS AND CDSs," Business Economics Working Papers wb063310, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]
  12. Jochen R. Andritzky, 2004. "Implied Default Probabilities and Default Recovery Ratios: An Analysis of Argentine Eurobonds 2000-2002," Econometric Society 2004 Far Eastern Meetings 500, Econometric Society. [Downloadable!]
  13. 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. [Downloadable!] (restricted)
  14. 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. [Downloadable!] (restricted)
  15. Dilip Madan & Haluk Unal, 1996. "Pricing the Risks of Default," Center for Financial Institutions Working Papers 94-16, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
  16. Liuren Wu & Frank Xiaoling Zhang, 2005. "A no-arbitrage analysis of economic determinants of the credit spread term structure," Finance and Economics Discussion Series 2005-59, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  17. Seppo Pynnönen & Warren P. Hogan & Jonathan A. Batten, 2006. "Dynamic equilibrium correction modelling of yen Eurobond credit spreads," The Institute for International Integration Studies Discussion Paper Series iiisdp127, IIIS. [Downloadable!]
  18. Dailami, Mansoor & Hauswald, Robert, 2001. "Contract risks and credit spread determinants in the international project bond market," Policy Research Working Paper Series 2712, The World Bank. [Downloadable!]
  19. Szu-Lang Liao & Hsing-Hua Huang, 2005. "Pricing Black--Scholes options with correlated interest rate risk and credit risk: an extension," Quantitative Finance, Taylor and Francis Journals, vol. 5(5), pages 443-457, October. [Downloadable!] (restricted)
  20. Kwamie Dunbar, 2005. "An Empirical Review of United States Corporate Default Swap Valuation: The Implications of Functional Forms," Fordham Economics Dissertations 2005.2, Fordham University, Department of Economics. [Downloadable!]
  21. Jun Liu & Francis A. Longstaff & Ravit E. Mandell, 2002. "The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads," NBER Working Papers 8990, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  22. 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 2001-37, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  23. Ericsson, Jan & Reneby, Joel, 1996. "Stock Options as Barrier Contingent Claims," Working Paper Series in Economics and Finance 137, Stockholm School of Economics, revised 01 Feb 2002. [Downloadable!]
    Other versions:
  24. Stuart M. Turnbull & Jun Yang, 2004. "Modelling the Evolution of Credit Spreads in the United States," Working Papers 04-45, Bank of Canada. [Downloadable!]
  25. Alexandros Benos & George Papanastasopoulos, 2005. "Extending the Merton Model: A Hybrid Approach to Assessing Credit Quality," Finance 0505020, EconWPA, revised 03 Jun 2005. [Downloadable!]
  26. Motokazu Ishizaka & Koichiro Takaoka, 2003. "On the Pricing of Defaultable Bonds Using the Framework of Barrier Options," Asia-Pacific Financial Markets, Springer, vol. 10(2), pages 151-162, September. [Downloadable!] (restricted)
  27. Douglas O. Cook & Lewis J. Spellman, 2006. "Loan rates vs. public debt rates: do loan rates reflect special values to the borrower or information intensive lending?," Proceedings, Federal Reserve Bank of Chicago, pages 325-348. [Downloadable!]
  28. Vink, Dennis, 2007. "An Empirical Analysis of Asset-Backed Securitization," MPRA Paper 10382, University Library of Munich, Germany, revised 25 Aug 2008. [Downloadable!]
  29. Hugues Pirotte, 1999. "Implementing a Structural Valuation Model of Swap Credit-Sensitive Rates," Working Papers CEB 99-001.RS, Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB). [Downloadable!]
  30. Jan Ericsson, Joel Reneby, 1998. "A framework for valuing corporate securities," Applied Mathematical Finance, Taylor and Francis Journals, vol. 5(3-4), pages 143-163, September. [Downloadable!] (restricted)
    Other versions:
  31. James Kau & Luke Peters, 2005. "The Effect of Mortgage Price and Default Risk on Mortgage Spreads," The Journal of Real Estate Finance and Economics, Springer, vol. 30(3), pages 285-295, April. [Downloadable!] (restricted)
  32. Nikolas Rokkanen, 2009. "Lemmings in the bond market? An empirical analysis of the term structure of credit spreads," Financial Markets and Portfolio Management, Springer, vol. 23(1), pages 31-57, March. [Downloadable!] (restricted)
  33. Michael P. Ross., 1998. "Corporate Hedging: What, Why and How?," Research Program in Finance Working Papers RPF-280, University of California at Berkeley. [Downloadable!]
  34. 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. [Downloadable!] (restricted)
  35. Jan De Wit, 2006. "Exploring the CDS-Bond Basis," Research series 200611-16, National Bank of Belgium. [Downloadable!]
  36. Theodore M. Barnhill & Marcos R. Souto & Benjamin M. Tabak, 2006. "An Analysis of Off-Site Supervision of Banks' Profitability, Risk and Capital Adequacy: a portfolio simulation approach applied to brazilian banks," Working Papers Series 117, Central Bank of Brazil, Research Department. [Downloadable!]
  37. Martina Nardon, 2005. "Valuing defaultable bonds: an excursion time approach," Finance 0511015, EconWPA. [Downloadable!]
  38. Maciej Firla-Cuchra & Tim Jenkinson, 2005. "Security Design in the Real World: Why are Securitization Issues Tranched?," Economics Series Working Papers 225, University of Oxford, Department of Economics. [Downloadable!]
  39. Wilson Sy, 2007. "A Causal Framework for Credit Default Theory," Research Paper Series 204, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  40. Chris Downing & Richard Stanton & Nancy Wallace, 2003. "An Empirical Test of a Two-Factor Mortgage Valuation Model: How Much Do House Prices Matter?," Research Program in Finance, Working Paper Series 1011, Research Program in Finance, Institute for Business and Economic Research, UC Berkeley. [Downloadable!]
  41. Elisa Luciano & Wim Schoutens, 2006. "A Multivariate Jump-Driven Financial Asset Model," Carlo Alberto Notebooks 29, Collegio Carlo Alberto. [Downloadable!]
    Other versions:
  42. Olfa Maalaoui & Georges Dionne & Pascal François, 2009. "Credit Spread Changes within Switching Regimes," Cahiers de recherche 0905, CIRPEE. [Downloadable!]
  43. Song Han & Hao Zhou, 2008. "Effects of liquidity on the nondefault component of corporate yield spreads: evidence from intraday transactions data," Finance and Economics Discussion Series 2008-40, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  44. Ethan Cohen-Cole, 2007. "Asset liquidity, debt valuation and credit risk," Quantitative Analysis Unit Working Paper QAU07-5, Federal Reserve Bank of Boston. [Downloadable!]
  45. Sbuelz, A. & Guha, R., 2003. "Structural rfv: recovery form and defaultable debt analysis," Discussion Paper 37, Tilburg University, Center for Economic Research. [Downloadable!]
  46. John Y. Campbell & Glen B. Taksler, 2002. "Equity Volatility and Corporate Bond Yields," Harvard Institute of Economic Research Working Papers 1945, Harvard - Institute of Economic Research. [Downloadable!]
    Other versions:
  47. Marco Realdon, 2006. "Valuation of the Firm's Liabilities when Equity Holders are also Creditors," Discussion Papers 06/16, Department of Economics, University of York. [Downloadable!]
  48. 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. [Downloadable!]
  49. Jonathan A. Batten & Warren P. Hogan & Gady Jacoby, 2005. "Measuring credit spreads: evidence from Australian Eurobonds," Applied Financial Economics, Taylor and Francis Journals, vol. 15(9), pages 651-666, June. [Downloadable!] (restricted)
  50. Ilya A. Strebulaev, 2004. "Do Tests of Capital Structure Theory Mean What They Say?," Econometric Society 2004 North American Summer Meetings 646, Econometric Society. [Downloadable!]
  51. C. N. V. Krishnan & Peter H. Ritchken & James B. Thomson, 2003. "On credit spread slopes and predicting bank risk," Working Paper 0314, Federal Reserve Bank of Cleveland. [Downloadable!]
    Other versions:
  52. Olivier Le Courtois & François Quittard-Pinon, 2006. "Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model," Asia-Pacific Financial Markets, Springer, vol. 13(1), pages 11-39, March. [Downloadable!] (restricted)
  53. Hamid Baghestani, 2005. "On the rationality of professional forecasts of corporate bond yield spreads," Applied Economics Letters, Taylor and Francis Journals, vol. 12(4), pages 213-216, March. [Downloadable!] (restricted)
  54. Jeremy Leake, . "Credit spreads on sterling corporate bonds and the term structure of UK interest rates," Bank of England working papers 202, Bank of England. [Downloadable!]
  55. Andrew Matacz, 2000. "Path dependent option pricing: the path integral partial averaging method," Science & Finance (CFM) working paper archive 500034, Science & Finance, Capital Fund Management. [Downloadable!]
  56. Abel Elizalde, 2006. "Credit Risk Models Ii: Structural Models," Working Papers wp2006_0606, CEMFI. [Downloadable!]
  57. 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. [Downloadable!] (restricted)
  58. Chris Downing & Richard Stanton & Nancy Wallace, 2003. "An empirical test of a two-factor mortgage valuation model: how much do house prices matter?," Finance and Economics Discussion Series 2003-42, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  59. C.N.V. Krishnan & Peter H. Ritchken & James B. Thomson, 2007. "On forecasting the term structure of credit spreads," Working Paper 0705, Federal Reserve Bank of Cleveland. [Downloadable!]
  60. Anderson, Ronald W. & Tu, Cheng, 1996. "Numerical analysis of strategic contingent claims models," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 1997004, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), revised 00 Jan 1997. [Downloadable!]
  61. Bertram Düring, 2009. "Asset pricing under information with stochastic volatility," Review of Derivatives Research, Springer, vol. 12(2), pages 141-167, July. [Downloadable!] (restricted)
    Other versions:
  62. Jun Yang, 2008. "Macroeconomic Determinants of the Term Structure of Corporate Spreads," Working Papers 08-29, Bank of Canada. [Downloadable!]
  63. Jan Ericsson & Kris Jacobs & Rodolfo A. Oviedo, 2004. "The Determinants of Credit Default Swap Premia," CIRANO Working Papers 2004s-55, CIRANO. [Downloadable!]
    Other versions:
  64. Maxime Merli & Alain Schatt, 2007. "Are there contagion or competition effects for non rated firms?The case of successive bond rating downgrades of Alcatel," Working Papers FARGO 1070603, Université de Bourgogne - Latec/Fargo (Research center in Finance,organizational ARchitecture and GOvernance). [Downloadable!]
  65. Roberto Blanco & Simon Brennan & Ian W Marsh, . "An empirical analysis of the dynamic relationship between investment-grade bonds and credit default swaps," Bank of England working papers 211, Bank of England. [Downloadable!]
  66. Marco Realdon, . "Corporate Bond Valuation with Both Expected and Unexpected Default," Discussion Papers 03/21, Department of Economics, University of York. [Downloadable!]
  67. Daniel Rosch & Harald Scheule, 2009. "The Empirical Relation between Credit Quality, Recovery, and Correlation," Working Papers 222009, Hong Kong Institute for Monetary Research. [Downloadable!]
  68. Eric Wong & Cho-Hoi Hui, 2009. "A Liquidity Risk Stress-Testing Framework with Interaction between Market and Credit Risks," Working Papers 0906, Hong Kong Monetary Authority. [Downloadable!]
  69. Andreas Wiggers, 2002. "Default-risky Sovereign Debt," Bonn Econ Discussion Papers bgse36_2002, University of Bonn, Germany. [Downloadable!]
  70. Ahmed Loulit, 2004. "Asymptotic approximation of the hitting-time and evaluation of a risky bond," Working Papers CEB 04-029.RS, Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB). [Downloadable!]
  71. Xin Wang & Chris Downing, 2005. "Optimal Capital Structure and the Term Structure of Interest Rates," Computing in Economics and Finance 2005 38, Society for Computational Economics. [Downloadable!]
  72. Charles S. Morris & Robert Neal & Douglas Rolph, 1998. "Credit spreads and interest rates : a cointegration approach," Research Working Paper 98-08, Federal Reserve Bank of Kansas City. [Downloadable!]
  73. Acharya, Viral V. & Davydenko, Sergei A. & Strebulaev, Ilya, 2009. "Cash Holdings and Credit Risk," CEPR Discussion Papers 7125, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  74. Maciej Firla-Cuchra & Tim Jenkinson, 2005. "Why are Securitization Issues Tranched?," OFRC Working Papers Series 2005fe04, Oxford Financial Research Centre. [Downloadable!]
  75. Kleimeier,Stefanie & William L. Megginson, 2002. "An empirical analysis of limited recourse project," Research Memoranda 066, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
  76. Benjamin Yibin Zhang & Hao Zhou & Haibin Zhu, 2005. "Explaining credit default swap spreads with the equity volatility and jump risks of individual firms," Finance and Economics Discussion Series 2005-63, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  77. Francis Longstaff & Sanjay Mithal & Eric Neis, 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 1176, Anderson Graduate School of Management, UCLA. [Downloadable!]
  78. Jean Helwege & Christopher M. Turner, 1997. "The slope of the credit yield curve for speculative-grade issuers," Research Paper 9725, Federal Reserve Bank of New York. [Downloadable!]
  79. Howard Qi & Sheen Liu & Chunchi Wu, 2009. "On the calibration of structural credit spread models," Annals of Finance, Springer, vol. 5(2), pages 189-208, March. [Downloadable!] (restricted)
  80. Adriana Breccia, 2004. "Formal Bankruptcy: Strategic Debt Service with Senior and Junior Creditors," Birkbeck Working Papers in Economics and Finance 0411, Birkbeck, Department of Economics, Mathematics & Statistics. [Downloadable!]
  81. Stephen Morris & Hyun Song Shin, 1999. "Coordination Risk and the Price of Debt," Cowles Foundation Discussion Papers 1241, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:
  82. Cumby, Robert & Pastine, Tuvana, 2001. "Emerging Market Debt: Measuring Credit Quality and Examining Relative Pricing," CEPR Discussion Papers 2866, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
  83. Castagnetti, Carolina & Rossi, Eduardo, 2008. "Euro corporate bonds risk factors," MPRA Paper 13440, University Library of Munich, Germany. [Downloadable!]
  84. Nikola A. Tarashev, 2008. "An Empirical Evaluation of Structural Credit-Risk Models," International Journal of Central Banking, International Journal of Central Banking, vol. 4(1), pages 1-53, March. [Downloadable!]
  85. Landschoot, A. van, 2003. "The term structure of credit spreads on euro corporate bonds," Discussion Paper 46, Tilburg University, Center for Economic Research. [Downloadable!]
  86. Jesus Saa-Requejo & Pedro Santa-Clara, 1997. "Bond Pricing with Default Risk," University of California at Los Angeles, Anderson Graduate School of Management 1127, Anderson Graduate School of Management, UCLA. [Downloadable!]
  87. Marco Fabio Delzio, 2004. "Pricing credit risk through equity options," Departmental Working Papers 198, Tor Vergata University, CEIS. [Downloadable!]
  88. 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. [Downloadable!] (restricted)
  89. 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. [Downloadable!]
  90. Edward J. Elton & Martin J. Gruber & Deepak Agrawal & Christopher Mann, 1999. "Explaining the Rate Spread on Corporate Bonds," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-082, New York University, Leonard N. Stern School of Business-. [Downloadable!]
  91. Lara Cathcart & Lina El-Jahel, 2006. "Pricing defaultable bonds: a middle-way approach between structural and reduced-form models," Quantitative Finance, Taylor and Francis Journals, vol. 6(3), pages 243-253, June. [Downloadable!] (restricted)
  92. Ericsson, Jan & Reneby, Joel, 2003. "Valuing Corporate Liabilities," SIFR Research Report Series 15, Institute for Financial Research. [Downloadable!]
  93. Dailami, Mansoor & Masson, Paul R. & Padou, Jean Jose, 2005. "Global monetary conditions versus country-specific factors in the determination of emerging market debt spreads," Policy Research Working Paper Series 3626, The World Bank. [Downloadable!]
    Other versions:
  94. Tang, Dragon Yongjun & Yan, Hong, 2008. "Market conditions, default risk and credit spreads," Discussion Paper Series 2: Banking and Financial Studies 2008,08, Deutsche Bundesbank, Research Centre. [Downloadable!]
  95. Kannan Thuraisamy & Gerry Gannon & Jonathan A. Batten, 2007. "The Credit Spread Dynamics of Latin American Euro Issues in International Bond Markets," Accounting, Finance, Financial Planning and Insurance Series 2007_12, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance. [Downloadable!]
    Other versions:
  96. Liz Dixon-Smith & Roman Goossens & Simon Hayes, . "Default probabilities and expected recovery: an analysis of emerging market sovereign bonds," Bank of England working papers 261, Bank of England. [Downloadable!]
  97. Augusto Castillo, 2004. "Firm and Corporate Bond Valuation: A Simulation Dynamic Programming Approach," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 41(124), pages 345-360. [Downloadable!]
  98. Décamps, Jean-Paul & Mariotti, Thomas & Rochet, Jean-Charles & Villeneuve, Stéphane, 2008. "Free Cash-Flow, Issuance Costs and Stock Price Volatility," IDEI Working Papers 518, Institut d'Économie Industrielle (IDEI), Toulouse. [Downloadable!]
  99. Barnhill, Theodore M. & Souto, Marcos Rietti, 2008. "Systemic bank risk in Brazil: an assessment of correlated market, credit, sovereign and inter-bank risk in an environment with stochastic volatilities and correlations," Discussion Paper Series 2: Banking and Financial Studies 2008,13, Deutsche Bundesbank, Research Centre. [Downloadable!]
  100. 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. [Downloadable!]
  101. Kanak Patel & Ricardo Pereira, 2008. "Pricing Property Index Linked Swaps with Counterparty Default Risk," The Journal of Real Estate Finance and Economics, Springer, vol. 36(1), pages 5-21, January. [Downloadable!] (restricted)
  102. Jun Liu & Francis Longstaff & Ravit Mandell, 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 1076, Anderson Graduate School of Management, UCLA. [Downloadable!]
  103. Jason Hsu & Jesus Saa-Requejo & Pedro Santa-Clara, 2003. "Bond Pricing with Default Risk," University of California at Los Angeles, Anderson Graduate School of Management 1245, Anderson Graduate School of Management, UCLA. [Downloadable!]
  104. Akihiko Takahashi & Takao Kobayashi & Naruhisa Nakagawa, 2001. "Pricing Convertible Bonds with Default Risk: A Duffie-Singleton Approach," CIRJE F-Series CIRJE-F-140, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
  105. Elisa Luciano, 2007. "Copula-Based Default Dependence Modelling: Where Do We Stand?," ICER Working Papers - Applied Mathematics Series 21-2007, ICER - International Centre for Economic Research. [Downloadable!]
  106. Kanak Patel & Ricardo Pereira, 2007. "Expected Default Probabilities in Structural Models: Empirical Evidence," The Journal of Real Estate Finance and Economics, Springer, vol. 34(1), pages 107-133, January. [Downloadable!] (restricted)
  107. Hamerle, Alfred & Liebig, Thilo & Scheule, Harald, 2004. "Forecasting Credit Portfolio Risk," Discussion Paper Series 2: Banking and Financial Studies 2004,01, Deutsche Bundesbank, Research Centre. [Downloadable!]
  108. Lando, David & Mortensen, Allan, 2004. "On the Pricing of Step-Up Bonds in the European Telecom Sector," Working Papers 2004-9, Copenhagen Business School, Department of Finance. [Downloadable!]
  109. 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. [Downloadable!]
  110. Carolina Castagnetti, 2004. "Estimating the risk premium of swap spreads. Two econometric GARCH-based techniques," Applied Financial Economics, Taylor and Francis Journals, vol. 14(2), pages 93-104, January. [Downloadable!] (restricted)
  111. Mark J Manning, . "Exploring the relationship between credit spreads and default probabilities," Bank of England working papers 225, Bank of England. [Downloadable!]
  112. Kannan Thuraisamy & Gerry Gannon & Jonathan A. Batten, 2007. "Credit Spread Dynamics: Evidence from Latin America," Accounting, Finance, Financial Planning and Insurance Series 2007_13, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance. [Downloadable!]
  113. Zhang, Zhipeng, 2009. "Who Pulls the Plug? Theory and Evidence on Corporate Bankruptcy Decisions," MPRA Paper 17676, University Library of Munich, Germany, revised 05 Oct 2009. [Downloadable!]
  114. 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. [Downloadable!] (restricted)
    Other versions:
  115. Jens Hilscher & Yves Nosbusch, 2007. "Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt," Money Macro and Finance (MMF) Research Group Conference 2006 114, Money Macro and Finance Research Group, revised 24 Apr 2007. [Downloadable!]
  116. Maciej Firla-Cuchra, 2005. "Explaining Launch Spreads on Structured Bonds," Economics Series Working Papers 230, University of Oxford, Department of Economics. [Downloadable!]
  117. Dale F. Gray & Robert C. Merton & Zvi Bodie, 2007. "New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability," NBER Working Papers 13607, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  118. 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. [Downloadable!]
  119. George Tauchen & Hao Zhou, 2006. "Realized jumps on financial markets and predicting credit spreads," Finance and Economics Discussion Series 2006-35, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  120. Gordon Delianedis & Robert Geske, 1998. "Credit Risk and Risk Neutral Default Probabilities: Information About Migrations and Defaults," University of California at Los Angeles, Anderson Graduate School of Management 1114, Anderson Graduate School of Management, UCLA. [Downloadable!]
  121. Jing-zhi Huang & Hao Zhou, 2008. "Specification analysis of structural credit risk models," Finance and Economics Discussion Series 2008-55, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  122. Kwamie Dunbar, 2007. "US Corporate Default Swap Valuation: The Market Liquidity Hypothesis and Autonomous Credit Risk," Working papers 2007-08, University of Connecticut, Department of Economics. [Downloadable!]
    Other versions:
  123. 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. [Downloadable!] (restricted)
Did you know? No RePEc service, like IDEAS, charges for the use or the display of bibliographic data.

This page was last updated on 2009-12-8.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.