Valuation models for default-risky securities: An overview
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Daniel F. Waggoner, 1997. "Spline methods for extracting interest rate curves from coupon bond prices," FRB Atlanta Working Paper 97-10, Federal Reserve Bank of Atlanta.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Maclachlan, Iain C, 2007. "An empirical study of corporate bond pricing with unobserved capital structure dynamics," MPRA Paper 28416, University Library of Munich, Germany.
- Choi, Hanbok & Eom, Young Ho & Jang, Woon Wook & Kim, Don H., 2017. "Covered interest parity deviation and counterparty default risk: U.S. Dollar/Korean Won FX swap market," Pacific-Basin Finance Journal, Elsevier, vol. 44(C), pages 47-63.
- Marco Bee, 2005. "Estimating rating transition probabilites with missing data," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 14(1), pages 127-141, February.
- repec:onb:oenbwp:y:2002:i:3:b:3 is not listed on IDEAS
- M. Tudela & G. Young, 2005.
"A Merton-Model Approach To Assessing The Default Risk Of Uk Public Companies,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(06), pages 737-761.
- Tudela, Merxe & Garry Young, 2003. "A Merton Model Approach to Assessing the Default Risk of UK Public Companies," Royal Economic Society Annual Conference 2003 207, Royal Economic Society.
- Merxe Tudela & Garry Young, 2003. "A Merton-model approach to assessing the default risk of UK public companies," Bank of England working papers 194, Bank of England.
- Alejandro Revéiz Hérault, "undated".
"Factores determinantes de los márgenes entre bonos del gobierno y bonos corporativos en los Estados Unidos,"
Lecturas en Finanzas
002710, Banco de la Republica de Colombia.
- Alejandro Revéiz Hérault, 2002. "Factores determinantes de los márgenes entre bonos del gobierno y bonos corporativos en los Estados Unidos," Lecturas en Finanzas 2710, Banco de la República.
- Alexandros Benos & George Papanastasopoulos, 2005. "Extending the Merton Model: A Hybrid Approach to Assessing Credit Quality," Finance 0505020, University Library of Munich, Germany, revised 18 Nov 2005.
- Harvir Kalirai & Martin Scheicher, 2002. "Macroeconomic Stress Testing: Preliminary Evidence for Austria," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 3, pages 58-74.
- Alley, David Christopher, 2004. "Corporate hedging and the cost of debt," ISU General Staff Papers 2004010108000017648, Iowa State University, Department of Economics.
- 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.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- repec:voc:wpaper:tech82012 is not listed on IDEAS
- Bowsher, Clive G. & Meeks, Roland, 2008.
"The Dynamics of Economic Functions: Modeling and Forecasting the Yield Curve,"
Journal of the American Statistical Association, American Statistical Association, vol. 103(484), pages 1419-1437.
- Clive Bowsher & Roland Meeks, 2008. "The Dynamics of Economic Functions: Modelling and Forecasting the Yield Curve," OFRC Working Papers Series 2008fe24, Oxford Financial Research Centre.
- Clive G. Bowsher & Roland Meeks, 2008. "The dynamics of economics functions: modelling and forecasting the yield curve," Working Papers 0804, Federal Reserve Bank of Dallas.
- Clive G. Bowsher & Roland Meeks, 2008. "The Dynamics of Economic Functions: Modelling and Forecasting the Yield Curve," Economics Papers 2008-W05, Economics Group, Nuffield College, University of Oxford.
- Gzyl, Henryk & Mayoral, Silvia, 2016. "Determination of zero-coupon and spot rates from treasury data by maximum entropy methods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 38-50.
- Bliss, Robert R. & Panigirtzoglou, Nikolaos, 2002. "Testing the stability of implied probability density functions," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 381-422, March.
- Ioannides, Michalis, 2003. "A comparison of yield curve estimation techniques using UK data," Journal of Banking & Finance, Elsevier, vol. 27(1), pages 1-26, January.
- Vadim Kaushanskiy & Victor Lapshin, 2016.
"A nonparametric method for term structure fitting with automatic smoothing,"
Applied Economics, Taylor & Francis Journals, vol. 48(58), pages 5654-5666, December.
- Victor A. Lapshin & Vadim Ya. Kaushanskiy, 2014. "A Nonparametric Method For Term Structure Fitting With Automatic Smoothing," HSE Working papers WP BRP 39/FE/2014, National Research University Higher School of Economics.
- Robert R Bliss & Nikolaos Panigirtzoglou, 2000. "Testing the stability of implied probability density functions," Bank of England working papers 114, Bank of England.
- Kentaro Kikuchi & Kohei Shintani, 2012.
"Comparative Analysis of Zero Coupon Yield Curve Estimation Methods Using JGB Price Data,"
Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 30, pages 75-122, November.
- Kentaro Kikuchi & Kohei Shintani, 2012. "Comparative Analysis of Zero Coupon Yield Curve Estimation Methods Using JGB Price Data," IMES Discussion Paper Series 12-E-04, Institute for Monetary and Economic Studies, Bank of Japan.
- Andraž, Grum, 2006. "Razvitost slovenskega trga dolžniškega kapitala in ocenitev krivulje donosnosti," MPRA Paper 4876, University Library of Munich, Germany.
- Guidolin, Massimo & Thornton, Daniel L., 2018.
"Predictions of short-term rates and the expectations hypothesis,"
International Journal of Forecasting, Elsevier, vol. 34(4), pages 636-664.
- Massimo Guidolin & Daniel L. Thornton, 2010. "Predictions of short-term rates and the expectations hypothesis," Working Papers 2010-013, Federal Reserve Bank of St. Louis.
- Ellison, Martin & Scott, Andrew, 2017.
"Managing the UK National Debt 1694-2017,"
CEPR Discussion Papers
12304, C.E.P.R. Discussion Papers.
- Martin Ellison & Andrew Scott, 2017. "Managing the UK National Debt 1694-2017," Economics Series Working Papers 833, University of Oxford, Department of Economics.
- Martin Ellison & Andrew Scott, 2017. "Managing the UK National Debt 1694-2017," Discussion Papers 1727, Centre for Macroeconomics (CFM).
- Ellison, Martin & Scott, Andrew, 2017. "Managing the UK National Debt 1694-2017," LSE Research Online Documents on Economics 86148, London School of Economics and Political Science, LSE Library.
- Torben G. Andersen & Luca Benzoni, 2010.
"Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models,"
Journal of Finance, American Finance Association, vol. 65(2), pages 603-653, April.
- Torben G. Andersen & Luca Benzoni, 2006. "Do bonds span volatility risk in the U.S. Treasury market? a specification test for affine term structure models," Working Paper Series WP-06-15, Federal Reserve Bank of Chicago.
- Torben G. Andersen & Luca Benzoni, 2007. "Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models," CREATES Research Papers 2007-25, Department of Economics and Business Economics, Aarhus University.
- Torben G. Andersen & Luca Benzoni, 2007. "Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models," NBER Working Papers 12962, National Bureau of Economic Research, Inc.
- Monique Reid, 2009.
"Isolating A Measure Of Inflation Expectations For The South African Financial Market Using Forward Interest Rates,"
South African Journal of Economics, Economic Society of South Africa, vol. 77(3), pages 399-413, September.
- Monique Reid, 2009. "Isolating a measure of inflation expectations for the South African financial market using forward interest rates," Working Papers 09/2009, Stellenbosch University, Department of Economics.
- Michael Ade, 2017. "Analysis of tax harmonisation in SADC," Working Papers 127, Economic Research Southern Africa.
- Yvon Fauvel & Alain Paquet & Christian Zimmermann, 1999. "A Survey on Interest Rate Forecasting," Cahiers de recherche CREFE / CREFE Working Papers 87, CREFE, Université du Québec à Montréal.
- Ganchev, Alexander, 2009. "Modeling the yield curve of spot interest rates under the conditions in Bulgaria," MPRA Paper 70048, University Library of Munich, Germany.
- Nicola Anderson & John Sleath, 2001. "New estimates of the UK real and nominal yield curves," Bank of England working papers 126, Bank of England.
- repec:voc:wpaper:tech32012 is not listed on IDEAS
- Andre d'Almeida Monteiro, 2010. "Estimating Interest Rate Curves by Support Vector Regression," Econometric Reviews, Taylor & Francis Journals, vol. 29(5-6), pages 717-753.
- Yallup, Peter J., 2012. "Models of the yield curve and the curvature of the implied forward rate function," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 121-135.
- Christensen, Bent Jesper & Kjær, Mads Markvart & Veliyev, Bezirgen, 2023.
"The incremental information in the yield curve about future interest rate risk,"
Journal of Banking & Finance, Elsevier, vol. 155(C).
- Bent Jesper Christensen & Mads Markvart Kjær & Bezirgen Veliyev, 2021. "The incremental information in the yield curve about future interest rate risk," CREATES Research Papers 2021-11, Department of Economics and Business Economics, Aarhus University.
- George J. Hall & Thomas J. Sargent, 2011.
"Interest Rate Risk and Other Determinants of Post-WWII US Government Debt/GDP Dynamics,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 3(3), pages 192-214, July.
- George J. Hall & Thomas J. Sargent, 2010. "Interest Rate Risk and Other Determinants of Post-WWII U.S. Government Debt/GDP Dynamics," NBER Working Papers 15702, National Bureau of Economic Research, Inc.
- George J. Hall & Thomas J. Sargent, 2010. "Interest rate risk and other determinants of post WWII U.S. government debt/GDP dynamics," Working Papers 01, Brandeis University, Department of Economics and International Business School.
- Thomas J. Sargent & George J. Hall, 2010. "Interest rate risk and other determinants of post WWII U.S. government debt/GDP dynamics," 2010 Meeting Papers 208, Society for Economic Dynamics.
- C. Emre Alper & Aras Akdemir & Kazim Kazimov, 2004. "Estimating the Term Structure of Government Securities in Turkey," Working Papers 2004/03, Bogazici University, Department of Economics.
More about this item
Keywords
Econometric models; Financial markets; Securities;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fip:fedaer:y:1998:i:q4:p:22-35:n:v.83no.4. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Meredith Rector (email available below). General contact details of provider: https://edirc.repec.org/data/frbatus.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.