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Citations for "A Markov Model for the Term Structure of Credit Risk Spreads"

by Jarrow, Robert A & Lando, David & Turnbull, Stuart M

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  1. 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.
  2. Ming Fang & Rui Zhong, 2004. "Default Risk, Firm's Characteristics, and Risk Shifting," Yale School of Management Working Papers amz2461, Yale School of Management, revised 01 Mar 2005.
  3. Kretzschmar, Gavin & McNeil, Alexander J. & Kirchner, Axel, 2010. "Integrated models of capital adequacy - Why banks are undercapitalised," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2838-2850, December.
  4. 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.
  5. Hayne E. Leland, 1998. "Agency Costs, Risk Management, and Capital Structure," Journal of Finance, American Finance Association, vol. 53(4), pages 1213-1243, 08.
  6. Cakir, Murat, 2001. "Credit Derivatives in Managing Off Balance Sheet Risks by Banks," MPRA Paper 55976, University Library of Munich, Germany.
  7. Valerio Vacca, 2011. "An unexpected crisis? Looking at pricing effectiveness of different banks," Temi di discussione (Economic working papers) 814, Bank of Italy, Economic Research and International Relations Area.
  8. Simonne Varotto, 2001. "Credit Risk Diversification," ICMA Centre Discussion Papers in Finance icma-dp2001-07, Henley Business School, Reading University.
  9. 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.
  10. 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.
  11. Egloff, Daniel & Leippold, Markus & Vanini, Paolo, 2007. "A simple model of credit contagion," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2475-2492, August.
  12. Bauerle, Nicole, 2002. "Risk management in credit risk portfolios with correlated assets," Insurance: Mathematics and Economics, Elsevier, vol. 30(2), pages 187-198, April.
  13. Allen, David E & Powell, Robert, 2008. "Structural Credit Modelling and Its Relationship to Market Value at Risk: An Australian Sectoral Perspective," MPRA Paper 47206, University Library of Munich, Germany.
  14. 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.
  15. Liz Dixon-Smith & Roman Goossens & Simon Hayes, 2005. "Default probabilities and expected recovery: an analysis of emerging market sovereign bonds," Bank of England working papers 261, Bank of England.
  16. 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.
  17. Simone Varotto, 2007. "Tests on the Accuracy of Basel II," ICMA Centre Discussion Papers in Finance icma-dp2007-09, Henley Business School, Reading University.
  18. Chunsheng Zhou, 1997. "A jump-diffusion approach to modeling credit risk and valuing defaultable securities," Finance and Economics Discussion Series 1997-15, Board of Governors of the Federal Reserve System (U.S.).
  19. Nickell, Pamela & Perraudin, William & Varotto, Simone, 2007. "Ratings-based credit risk modelling: An empirical analysis," International Review of Financial Analysis, Elsevier, vol. 16(5), pages 434-451.
  20. 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.
  21. Daniel Roesch & Harald Scheule, 2011. "Securitization Rating Performance and Agency Incentives," Working Papers 182011, Hong Kong Institute for Monetary Research.
  22. 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.
  23. Bjork, Tomas, 2009. "Arbitrage Theory in Continuous Time," OUP Catalogue, Oxford University Press, edition 3, number 9780199574742, September.
  24. Skinner, Frank S. & Townend, Timothy G., 2002. "An empirical analysis of credit default swaps," International Review of Financial Analysis, Elsevier, vol. 11(3), pages 297-309.
  25. Daniel Rosch & Harald Scheule, 2009. "The Empirical Relation between Credit Quality, Recovery, and Correlation," Working Papers 222009, Hong Kong Institute for Monetary Research.
  26. 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.
  27. Mark Craddock & Eckhard Platen, 2001. "Benchmark Pricing of Credit Derivatives Under a Standard Market Model," Research Paper Series 60, Quantitative Finance Research Centre, University of Technology, Sydney.
  28. Das, Sanjiv R. & Hanouna, Paul, 2009. "Implied recovery," Journal of Economic Dynamics and Control, Elsevier, vol. 33(11), pages 1837-1857, November.
  29. J. Baixauli & Susana Alvarez, 2012. "Implied Severity Density Estimation: An Extended Semiparametric Method to Compute Credit Value at Risk," Computational Economics, Society for Computational Economics, vol. 40(2), pages 115-129, August.
  30. Rossello, Damiano, 2012. "Arbitrage in skew Brownian motion models," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 50-56.
  31. repec:hal:journl:halshs-00179325 is not listed on IDEAS
  32. Hui Chen & Yu Xu & Jun Yang, 2012. "Systematic Risk, Debt Maturity, and the Term Structure of Credit Spreads," NBER Working Papers 18367, National Bureau of Economic Research, Inc.
  33. David Wozabal & Ronald Hochreiter, 2009. "A Coupled Markov Chain Approach to Credit Risk Modeling," Papers 0911.3802, arXiv.org, revised Jan 2014.
  34. 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 rp65, International Center for Financial Asset Management and Engineering.
  35. Koichi Matsumoto, 2003. "Implied Default Probability and Credit Derivatives," Asia-Pacific Financial Markets, Springer, vol. 10(2), pages 129-149, September.
  36. Manmohan Singh, 2003. "Are Credit Default Swaps Spreads High in Emerging Markets," IMF Working Papers 03/242, International Monetary Fund.
  37. Federico Sturzenegger, 2002. "Defaults in the 90´s: Factbook and Preliminary Lessons," Business School Working Papers veintidos, Universidad Torcuato Di Tella.
  38. Esteghamat, Kian, 2003. "A boundary crossing model of counterparty risk," Journal of Economic Dynamics and Control, Elsevier, vol. 27(10), pages 1771-1799, August.
  39. 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 rp56, International Center for Financial Asset Management and Engineering.
  40. 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.
  41. 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.
  42. Marco Sorge & Blaise Gadanecz, 2004. "The term structure of credit spreads in project finance," BIS Working Papers 159, Bank for International Settlements.
  43. Arthur M. Berd, 2009. "A Guide to Modeling Credit Term Structures," Papers 0912.4623, arXiv.org, revised Dec 2009.
  44. Berardi, Andrea & Ciraolo, Stefania & Trova, Michele, 2004. "Predicting default probabilities and implementing trading strategies for emerging markets bond portfolios," Emerging Markets Review, Elsevier, vol. 5(4), pages 447-469, December.
  45. Simone Varotto, 2008. "An Assessment of the Internal Rating Based Approach in Basel II," ICMA Centre Discussion Papers in Finance icma-dp2008-04, Henley Business School, Reading University.
  46. 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.
  47. Gregory R. Duffee, 1996. "Treasury yields and corporate bond yield spreads: an empirical analysis," Finance and Economics Discussion Series 96-20, Board of Governors of the Federal Reserve System (U.S.).
  48. Duffee, Gregory R, 1999. "Estimating the Price of Default Risk," Review of Financial Studies, Society for Financial Studies, vol. 12(1), pages 197-226.
  49. Mari, Carlo & Reno, Roberto, 2005. "Credit risk analysis of mortgage loans: An application to the Italian market," European Journal of Operational Research, Elsevier, vol. 163(1), pages 83-93, May.
  50. Simone Varotto, 2011. "Liquidity risk, credit risk, market risk and bank capital," International Journal of Managerial Finance, Emerald Group Publishing, vol. 7(2), pages 134-152, April.
  51. Giesecke, Kay & Longstaff, Francis A. & Schaefer, Stephen & Strebulaev, Ilya, 2011. "Corporate bond default risk: A 150-year perspective," Journal of Financial Economics, Elsevier, vol. 102(2), pages 233-250.
  52. Blöchlinger, Andreas, 2011. "Arbitrage-free credit pricing using default probabilities and risk sensitivities," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 268-281, February.
  53. 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.
  54. Frydman, Halina & Schuermann, Til, 2008. "Credit rating dynamics and Markov mixture models," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 1062-1075, June.
  55. Bangia, Anil & Diebold, Francis X. & Kronimus, Andre & Schagen, Christian & Schuermann, Til, 2002. "Ratings migration and the business cycle, with application to credit portfolio stress testing," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 445-474, March.
  56. Georges Dionne & Sadok Laajimi & Sofiane Mejri & Madalina Petrescu, 2006. "Estimation of the Default Risk of Publicly Traded Canadian Companies," Cahiers de recherche 0613, CIRPEE.
  57. Antionio Diaz & Frank Skinner, 2001. "Estimating Corporate Yield Curves," ICMA Centre Discussion Papers in Finance icma-dp2001-01, Henley Business School, Reading University.
  58. Chan, Kam Fong & Marsden, Alastair, 2014. "Macro risk factors of credit default swap indices in a regime-switching framework," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 285-308.
  59. Batten, Jonathan & Ellis, Craig & Hogan, Warren, 2002. "Scaling the volatility of credit spreads: Evidence from Australian dollar eurobonds," International Review of Financial Analysis, Elsevier, vol. 11(3), pages 331-344.
  60. J. Samuel Baixauli & Susana Alvarez, 2010. "The Role of Market-Implied Severity Modeling for Credit VaR," Annals of Economics and Finance, Society for AEF, vol. 11(2), pages 337-353, November.
  61. Jobst, Norbert J. & Zenios, Stavros A., 2005. "On the simulation of portfolios of interest rate and credit risk sensitive securities," European Journal of Operational Research, Elsevier, vol. 161(2), pages 298-324, March.
  62. Batten, Jonathan & Hogan, Warren & Pynnonen, Seppo, 2000. "The dynamics of Australian dollar bonds with different credit qualities," International Review of Financial Analysis, Elsevier, vol. 9(4), pages 389-404.
  63. Tomoaki Shouda, 2005. "Dynamical analysis of corporate bonds based on the yield spread term-quality surface," Asia-Pacific Financial Markets, Springer, vol. 12(4), pages 307-332, December.
  64. 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.
  65. Paolo Tasca & Stefano Battiston, . "Market Procyclicality and Systemic Risk," Working Papers ETH-RC-12-012, ETH Zurich, Chair of Systems Design.
  66. Hui Chen, 2010. "Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure," NBER Working Papers 16151, National Bureau of Economic Research, Inc.
  67. Tak-Kuen Siu & Wai-Ki Ching & Eric Fung & Michael Ng, 2005. "Extracting Information from Spot Interest Rates and Credit Ratings using Double Higher-Order Hidden Markov Models," Computational Economics, Society for Computational Economics, vol. 26(3), pages 69-102, November.
  68. Antje Berndt & Peter Ritchken & Zhiqiang Sun, . "On Correlation Effects and Default Clustering in Credit Models," GSIA Working Papers 2008-E36, Carnegie Mellon University, Tepper School of Business.
  69. 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.
  70. Lara Cathcart & Lina El-Jahel, 2006. "Pricing defaultable bonds: a middle-way approach between structural and reduced-form models," Quantitative Finance, Taylor & Francis Journals, vol. 6(3), pages 243-253.
  71. Jonathan Crook & Tony Bellotti, 2010. "Time varying and dynamic models for default risk in consumer loans," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 173(2), pages 283-305.
  72. Darrell Duffie & Jun Pan & Kenneth Singleton, 2000. "Transform Analysis and Asset Pricing for Affine Jump-Diffusions," Econometrica, Econometric Society, vol. 68(6), pages 1343-1376, November.
  73. 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.
  74. Stefan Hlawatsch, 2009. "A Framework for LGD Validation of Retail Portfolios," FEMM Working Papers 09025, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management.
  75. Gregory R. Duffee, 1994. "On measuring credit risks of derivative instruments," Finance and Economics Discussion Series 94-27, Board of Governors of the Federal Reserve System (U.S.).
  76. 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.
  77. Lando, David & Skodeberg, Torben M., 2002. "Analyzing rating transitions and rating drift with continuous observations," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 423-444, March.
  78. Christiansen, Charlotte, 2002. "Credit spreads and the term structure of interest rates," International Review of Financial Analysis, Elsevier, vol. 11(3), pages 279-295.
  79. Viviana Fanelli & Silvana Musti, 2007. "Pricing of CDS Options with the HJM approach: a Numerical Implementation," Quaderni DSEMS 26-2007, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia.
  80. Hoi Wong & Tsz Wong, 2007. "Reduced-form Models with Regime Switching: An Empirical Analysis for Corporate Bonds," Asia-Pacific Financial Markets, Springer, vol. 14(3), pages 229-253, September.
  81. 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.
  82. Julien Vedani & Fabien Ramaharobandro, 2013. "Continuous compliance: a proxy-based monitoring framework," Working Papers hal-00866531, HAL.
  83. Viral V. Acharya & Jennifer N. Carpenter, 2002. "Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy," Review of Financial Studies, Society for Financial Studies, vol. 15(5), pages 1355-1383.
  84. Acharya, Viral V & Bharath, Sreedhar T & Srinivasan, Anand, 2003. "Understanding the Recovery Rates on Defaulted Securities," CEPR Discussion Papers 4098, C.E.P.R. Discussion Papers.
  85. Roberto Blanco & Simon Brennan & Ian W Marsh, 2004. "An empirical analysis of the dynamic relationship between investment-grade bonds and credit default swaps," Bank of England working papers 211, Bank of England.
  86. Monique Jeanblanc & Stoyan Valchev, 2007. "Default-risky bond prices with jumps, liquidity risk and incomplete information," Decisions in Economics and Finance, Springer, vol. 30(2), pages 109-136, November.
  87. Kremer, Alexander & Weißbach, Rafael, 2014. "Asymptotic normality for discretely observed Markov jump processes with an absorbing state," Statistics & Probability Letters, Elsevier, vol. 90(C), pages 136-139.
  88. Castrén, Olli & Dées, Stéphane & Zaher, Fadi, 2010. "Stress-testing euro area corporate default probabilities using a global macroeconomic model," Journal of Financial Stability, Elsevier, vol. 6(2), pages 64-78, June.
  89. 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.
  90. Li Chen & Damir Filipovic, 2003. "A Simple Model for Credit Migration and Spread Curves," Finance 0305003, EconWPA.
  91. Sturzenegger, Federico & Zettelmeyer, Jeromin, 2008. "Haircuts: Estimating investor losses in sovereign debt restructurings, 1998-2005," Journal of International Money and Finance, Elsevier, vol. 27(5), pages 780-805, September.
  92. Hayette Gatfaoui, 2003. "Risque de Défaut et Risque de Liquidité : Une Etude de Deux Composantes du Spread de Crédit," Risk and Insurance 0308005, EconWPA.
  93. Greta Falavigna, 2006. "Models for Default Risk Analysis: Focus on Artificial Neural Networks, Model Comparisons, Hybrid Frameworks," CERIS Working Paper 200610, Institute for Economic Research on Firms and Growth - Moncalieri (TO).
  94. 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.
  95. Batten, Jonathan A. & Hogan, Warren P., 2003. "Time variation in the credit spreads on Australian Eurobonds," Pacific-Basin Finance Journal, Elsevier, vol. 11(1), pages 81-99, January.
  96. 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.
  97. repec:wyi:journl:002109 is not listed on IDEAS
  98. 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.
  99. 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.
  100. 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.
  101. Houweling, P. & Hoek, J. & Kleibergen, F.R., 1999. "The Joint Estimation of Term Structures and Credit Spreads," Econometric Institute Research Papers EI 9916-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  102. Brent Glover, . "The Expected Cost of Default," GSIA Working Papers 2011-E23, Carnegie Mellon University, Tepper School of Business.
  103. Giesecke, Kay & Weber, Stefan, 2006. "Credit contagion and aggregate losses," Journal of Economic Dynamics and Control, Elsevier, vol. 30(5), pages 741-767, May.
  104. 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.
  105. 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.
  106. 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 12.03, Universidad Pablo de Olavide, Department of Financial Economics and Accounting (former Department of Business Administration).
  107. Carl Chiarella & Viviana Fanelli & Silvana Musti, 2009. "Modelling the Evolution of Credit Spreads Using the Cox Process Within the HJM Framework A CDS Option Pricing Model," Research Paper Series 255, Quantitative Finance Research Centre, University of Technology, Sydney.
  108. Hans Byström & Oh-Kang Kwon, 2003. "A Simple Continuous Measure of Credit Risk," Research Paper Series 111, Quantitative Finance Research Centre, University of Technology, Sydney.
  109. 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.
  110. 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.
  111. 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.
  112. 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.
  113. Stephan Dieckmann & Michael Gallmeyer, 2006. "Pricing Rare Event Risk in Emerging Markets," 2006 Meeting Papers 305, Society for Economic Dynamics.
  114. Ericsson, Jan & Reneby, Joel, 2003. "Valuing Corporate Liabilities," SIFR Research Report Series 15, Institute for Financial Research.
  115. Ji, Philip Inyeob & In, Francis, 2010. "The impact of the global financial crisis on the cross-currency linkage of LIBOR-OIS spreads," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(5), pages 575-589, December.
  116. 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.
  117. Jarrow, Robert A. & Turnbull, Stuart M., 2000. "The intersection of market and credit risk," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 271-299, January.
  118. Feldhütter, Peter & Lando, David, 2008. "Decomposing swap spreads," Journal of Financial Economics, Elsevier, vol. 88(2), pages 375-405, May.
  119. Hubner, Georges, 2001. "The analytic pricing of asymmetric defaultable swaps," Journal of Banking & Finance, Elsevier, vol. 25(2), pages 295-316, February.
  120. Cumby, Robert E. & Pastine, Tuvana, 2001. "Emerging market debt: measuring credit quality and examining relative pricing," Journal of International Money and Finance, Elsevier, vol. 20(5), pages 591-609, October.
  121. Zhou, Chunsheng, 2001. "The term structure of credit spreads with jump risk," Journal of Banking & Finance, Elsevier, vol. 25(11), pages 2015-2040, November.
  122. Yavin, Tzahi & Zhang, Hu & Wang, Eugene & Clayton, Michael, 2011. "Transition Probability Matrix Methodology for Incremental Risk Charge," MPRA Paper 28740, University Library of Munich, Germany.
  123. 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.
  124. 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.
  125. Lekkos, Ilias, 2007. "Modelling multiple term structures of defaultable bonds with common and idiosyncratic state variables," Journal of Empirical Finance, Elsevier, vol. 14(5), pages 783-817, December.
  126. Landschoot, A. van, 2003. "The Term Structure of Credit Spreads on Euro Corporate Bonds," Discussion Paper 2003-046, Tilburg University, Center for Economic Research.
  127. M. Bellalah, 2000. "A Reexamination of Corporate Risks Under Incomplete Information," THEMA Working Papers 2000-28, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  128. 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.
  129. Li Chen & H. Vincent Poor, 2003. "Credit Risk Modeling and the Term Structure of Credit Spreads," Finance 0312009, EconWPA.
  130. SOLNIK, Bruno & COLLIN-DUFRESNE, Pierre, 2000. "On the term structure of default premia in the Swap and Libor markets," Les Cahiers de Recherche 704, HEC Paris.
  131. 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.
  132. 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.
  133. 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.
  134. Gordy, Michael B. & Howells, Bradley, 2006. "Procyclicality in Basel II: Can we treat the disease without killing the patient?," Journal of Financial Intermediation, Elsevier, vol. 15(3), pages 395-417, July.
  135. Bhanot, Karan & Mello, Antonio S., 2006. "Should corporate debt include a rating trigger?," Journal of Financial Economics, Elsevier, vol. 79(1), pages 69-98, January.
  136. Peter Christoffersen & Du Du & Redouane Elkamhi, 2013. "Rare Disasters and Credit Market Puzzles," CREATES Research Papers 2013-45, School of Economics and Management, University of Aarhus.
  137. 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.
  138. Dai, Qiang & Singleton, Kenneth J., 2003. "Fixed-income pricing," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 20, pages 1207-1246 Elsevier.
  139. Esposito, Francesco Paolo, 2011. "Credit risk tools, (numerical methods for finance, university of Limerick 2011)," MPRA Paper 40081, University Library of Munich, Germany.
  140. 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.
  141. Grundke, Peter, 2009. "Importance sampling for integrated market and credit portfolio models," European Journal of Operational Research, Elsevier, vol. 194(1), pages 206-226, April.
  142. Gustavo Manso, 2011. "Feedback Effects of Credit Ratings," 2011 Meeting Papers 1338, Society for Economic Dynamics.
  143. Keiler, Sebastian & Eder, Armin, 2013. "CDS spreads and systemic risk: A spatial econometric approach," Discussion Papers 01/2013, Deutsche Bundesbank, Research Centre.
  144. 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.
  145. Ammann, Manuel & Kind, Axel & Wilde, Christian, 2003. "Are convertible bonds underpriced? An analysis of the French market," Journal of Banking & Finance, Elsevier, vol. 27(4), pages 635-653, April.
  146. Delia Coculescu & Ashkan Nikeghbali, 2008. "Hazard processes and martingale hazard processes," Papers 0807.4958, arXiv.org.
  147. Gourieroux, Christian & Jasiak, Joann, 2006. "Multivariate Jacobi process with application to smooth transitions," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 475-505.
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