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Citations for "Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy"

by Acharya, Viral V & Carpenter, Jennifer

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  1. Odermann, Alexander & Cremers, Heinz, 2013. "Komponenten und Determinanten des Credit Spreads: Empirische Untersuchung während Phasen von Marktstress," Frankfurt School - Working Paper Series 204, Frankfurt School of Finance and Management.
  2. Jaewon Choi & Matthew P. Richardson & Robert F. Whitelaw, 2014. "On the Fundamental Relation Between Equity Returns and Interest Rates," NBER Working Papers 20187, National Bureau of Economic Research, Inc.
  3. Lee, Hei Wai & Xie, Yan Alice & Yau, Jot, 2011. "The impact of sovereign risk on bond duration: Evidence from Asian sovereign bond markets," International Review of Economics & Finance, Elsevier, Elsevier, vol. 20(3), pages 441-451, June.
  4. Xie, Yan Alice & Liu, Sheen & Wu, Chunchi & Anderson, Bing, 2009. "The effects of default and call risk on bond duration," Journal of Banking & Finance, Elsevier, vol. 33(9), pages 1700-1708, September.
  5. Jing-zhi Huang & Hao Zhou, 2008. "Specification analysis of structural credit risk models," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2008-55, Board of Governors of the Federal Reserve System (U.S.).
  6. 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.
  7. Marble III, Hugh, 2011. "Anatomy of a ratings change," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 51(1), pages 105-112, February.
  8. Dias, José Carlos & Shackleton, Mark B., 2011. "Hysteresis effects under CIR interest rates," European Journal of Operational Research, Elsevier, Elsevier, vol. 211(3), pages 594-600, June.
  9. Kim, Dong H. & Stock, Duane, 2012. "Impact of the TARP financing choice on existing preferred stock," Journal of Corporate Finance, Elsevier, Elsevier, vol. 18(5), pages 1121-1142.
  10. Mathur, Ike & Singh, Manohar & Nejadmalayeri, Ali & Jiraporn, Pornsit, 2013. "How do bond investors perceive dividend payouts?," Research in International Business and Finance, Elsevier, Elsevier, vol. 27(1), pages 92-105.
  11. repec:wyi:journl:002109 is not listed on IDEAS
  12. Beliaeva, Natalia & Nawalkha, Sanjay, 2012. "Pricing American interest rate options under the jump-extended constant-elasticity-of-variance short rate models," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 151-163.
  13. Maclachlan, Iain C, 2007. "An empirical study of corporate bond pricing with unobserved capital structure dynamics," MPRA Paper 28416, University Library of Munich, Germany.
  14. Nayar, Nandkumar (Nandu) & Stock, Duane, 2008. "Make-whole call provisions: A case of "much ado about nothing?"," Journal of Corporate Finance, Elsevier, Elsevier, vol. 14(4), pages 387-404, September.
  15. Jaime Casassus & Eduardo Walker, 2013. "Adjusted Money's Worth Ratios in Life Annuities," Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile. 434, Instituto de Economia. Pontificia Universidad Católica de Chile..
  16. Sarkar, Sudipto & Hong, Gwangheon, 2004. "Effective duration of callable corporate bonds: Theory and evidence," Journal of Banking & Finance, Elsevier, vol. 28(3), pages 499-521, March.
  17. 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.
  18. Dionne, Georges & Laajimi, Sadok, 2012. "On the determinants of the implied default barrier," Journal of Empirical Finance, Elsevier, Elsevier, vol. 19(3), pages 395-408.
  19. 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.
  20. Abel Elizalde, 2006. "Credit Risk Models Ii: Structural Models," Working Papers, CEMFI wp2006_0606, CEMFI.
  21. 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.
  22. 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.
  23. João Nunes, 2011. "American options and callable bonds under stochastic interest rates and endogenous bankruptcy," Review of Derivatives Research, Springer, Springer, vol. 14(3), pages 283-332, October.
  24. 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.
  25. Choi, Seungmook & Jameson, Mel & Jung, Mookwon, 2013. "The issuance of callable bonds under information asymmetry," Journal of Empirical Finance, Elsevier, Elsevier, vol. 21(C), pages 1-14.
  26. Duffie, Darrell, 2005. "Credit risk modeling with affine processes," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2751-2802, November.
  27. Koijen, Ralph S.J. & Hemert, Otto Van & Nieuwerburgh, Stijn Van, 2009. "Mortgage timing," Journal of Financial Economics, Elsevier, Elsevier, vol. 93(2), pages 292-324, August.
  28. Luciano Campi & Simon Polbennikov & Sbuelz, 2005. "Assessing Credit with Equity: A CEV Model with Jump to Default," Working Papers 24, University of Verona, Department of Economics.
  29. Kraft, Holger & Munk, Claus, 2007. "Bond durations: Corporates vs. Treasuries," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3720-3741, December.
  30. Pawlina, Grzegorz, 2010. "Underinvestment, capital structure and strategic debt restructuring," Journal of Corporate Finance, Elsevier, Elsevier, vol. 16(5), pages 679-702, December.
  31. Linda Allen & Anthony Saunders, 2004. "Incorporating Systemic Influences Into Risk Measurements: A Survey of the Literature," Journal of Financial Services Research, Springer, Springer, vol. 26(2), pages 161-191, October.
  32. Krishnan, C.N.V. & Ritchken, Peter H. & Thomson, James B., 2010. "Predicting credit spreads," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 19(4), pages 529-563, October.
  33. Haishi Huang, 2009. "Convertible Bonds: Risks and Optimal Strategies," Bonn Econ Discussion Papers, University of Bonn, Germany bgse07_2010, University of Bonn, Germany.
  34. Guha, R. & Sbuelz, A., 2003. "Structural RFV: Recovery Form and Defaultable Debt Analysis," Discussion Paper, Tilburg University, Center for Economic Research 2003-37, Tilburg University, Center for Economic Research.
  35. Nejadmalayeri, Ali & Nishikawa, Takeshi & Rao, Ramesh P., 2013. "Sarbanes-Oxley Act and corporate credit spreads," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2991-3006.