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An Analytical Model of Interest Rate Differentials and Different Default Recoveries

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  • Yawitz, Jess B.

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  • Yawitz, Jess B., 1977. "An Analytical Model of Interest Rate Differentials and Different Default Recoveries," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(03), pages 481-490, September.
  • Handle: RePEc:cup:jfinqa:v:12:y:1977:i:03:p:481-490_02
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    Cited by:

    1. Mitchener, Kris James & Oosterlinck, Kim & Weidenmier, Marc D. & Haber, Stephen, 2015. "Victory or repudiation? Predicting winners in civil wars using international financial markets," Journal of Banking & Finance, Elsevier, vol. 60(C), pages 310-319.
    2. Cassola, N. & Ewerhart , C. & Valla, N., 2006. "Declining Valuations and Equilibrium Bidding Central Bank Refinancing Operations," Working papers 151, Banque de France.
    3. Barry Eichengreen, 1989. "The U.S. Capital Market and Foreign Lending, 1920 - 1955," NBER Chapters,in: Developing Country Debt and Economic Performance, Volume 1: The International Financial System, pages 107-156 National Bureau of Economic Research, Inc.
    4. Nippel, Peter, 2016. "Investitionsrechnerische Bewertung von ausfallgefährdeten Krediten," Manuskripte aus den Instituten für Betriebswirtschaftslehre der Universität Kiel 664, Christian-Albrechts-Universität zu Kiel, Institut für Betriebswirtschaftslehre.
    5. 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.
    6. Wu, Chunchi & Yu, Chih-Hsien, 1996. "Risk aversion and the yield of corporate debt," Journal of Banking & Finance, Elsevier, vol. 20(2), pages 267-281, March.
    7. 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.
    8. 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.
    9. Nippel, Peter, 2015. "Eine finanzwirtschaftliche Analyse der Risikovorsorge für erwartete Verluste im Kreditgeschäft," Manuskripte aus den Instituten für Betriebswirtschaftslehre der Universität Kiel 659, Christian-Albrechts-Universität zu Kiel, Institut für Betriebswirtschaftslehre.
    10. Thomas A. Lawler, 1978. "Measuring the default risk of bonds using yields to maturity," Working Paper 78-04, Federal Reserve Bank of Richmond.
    11. Barry Eichengreen, 1987. "Til Debt Do Us Part: The U.S. Capital Market and Foreign Lending, 1920-1955," NBER Working Papers 2394, National Bureau of Economic Research, Inc.
    12. Racheva-Sarabian, Anna & Ryvkin, Dmitry & Semykina, Anastasia, 2015. "The default of special district financing: Evidence from California," Journal of Housing Economics, Elsevier, vol. 27(C), pages 37-48.
    13. Jess B. Yawitz & Kevin J. Maloney & Louis H. Ederington, 1983. "Taxes, Default Risk, and Yield Spreads," NBER Working Papers 1215, National Bureau of Economic Research, Inc.
    14. Michael Smirlock & Jess B. Yawitz, 1984. "Asset Returns, Discount Rate Changes and Market Efficiency," NBER Working Papers 1530, National Bureau of Economic Research, Inc.
    15. Haber, Stephen H & Mitchener, Kris & Oosterlinck, Kim & Weidenmier, Marc, 2014. "Predicting Winners in Civil Wars," CEPR Discussion Papers 10109, C.E.P.R. Discussion Papers.
    16. Louis H. Ederington & Jess B. Yawitz & Brian E. Roberts, 1984. "The Informational Content of Bond Ratings," NBER Working Papers 1323, National Bureau of Economic Research, Inc.
    17. 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.
    18. James W. Kolari, 1987. "An Analytical Model Of Risky Yield Curves," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 10(4), pages 295-303, December.
    19. Ewerhart, Christian & Cassola, Nuno & Valla, Natacha, 2010. "Declining valuations and equilibrium bidding in central bank refinancing operations," International Journal of Industrial Organization, Elsevier, vol. 28(1), pages 30-43, January.
    20. Chunchi Wu, 1991. "A Certainty Equivalent Approach To Municipal Bond Default Risk Estimation," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 14(3), pages 241-247, September.
    21. Bandyopadhyay, Arindam & Singh, Pratima, 2007. "Estimating Recovery Rates on Bank’s Historical Loan Loss Data," MPRA Paper 9525, University Library of Munich, Germany.

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