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The pricing of credit risk derivatives

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  • Pierides, Yiannos A.

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  • Pierides, Yiannos A., 1997. "The pricing of credit risk derivatives," Journal of Economic Dynamics and Control, Elsevier, vol. 21(10), pages 1579-1611, August.
    • Handle: RePEc:eee:dyncon:v:21:y:1997:i:10:p:1579-1611
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    References listed on IDEAS

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    1. Black, Fischer & Cox, John C, 1976. "Valuing Corporate Securities: Some Effects of Bond Indenture Provisions," Journal of Finance, American Finance Association, vol. 31(2), pages 351-367, May.
    2. Robert A. Jarrow & Stuart M. Turnbull, 2008. "Pricing Derivatives on Financial Securities Subject to Credit Risk," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 17, pages 377-409, World Scientific Publishing Co. Pte. Ltd..
    3. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
    4. Longstaff, Francis A & Schwartz, Eduardo S, 1995. "A Simple Approach to Valuing Risky Fixed and Floating Rate Debt," Journal of Finance, American Finance Association, vol. 50(3), pages 789-819, July.
    5. Cornell, Bradford & Green, Kevin, 1991. "The Investment Performance of Low-Grade Bond Funds," Journal of Finance, American Finance Association, vol. 46(1), pages 29-48, March.
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    Cited by:

    1. Kwamie Dunbar & Abu S. Amin, 2012. "Credit risk dynamics in response to changes in the federal funds target: The implication for firm short‐term debt," Review of Financial Economics, John Wiley & Sons, vol. 21(3), pages 141-152, September.
    2. Francois, Pascal & Hubner, Georges, 2004. "Credit derivatives with multiple debt issues," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 997-1021, May.
    3. Brown, Christine A. & Wang, Sally, 2002. "Credit risk: The case of First Interstate Bankcorp," International Review of Financial Analysis, Elsevier, vol. 11(2), pages 229-248.
    4. Esteghamat, Kian, 2003. "A boundary crossing model of counterparty risk," Journal of Economic Dynamics and Control, Elsevier, vol. 27(10), pages 1771-1799, August.
    5. 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.
    6. L N Allen & L C Rose, 2006. "Financial survival analysis of defaulted debtors," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 57(6), pages 630-636, June.
    7. repec:kap:iaecre:v:17:y:2011:i:3:p:258-273 is not listed on IDEAS
    8. Duffie, Darrell, 2005. "Credit risk modeling with affine processes," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2751-2802, November.
    9. Biao Guo & Qian Han & Doojin Ryu, 2013. "The Number of State Variables for CDS Pricing," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    10. Giacometti, Rosella & Teocchi, Mariangela, 2005. "On pricing of credit spread options," European Journal of Operational Research, Elsevier, vol. 163(1), pages 52-64, May.
    11. Gann, Philipp, 2008. "Der Internal Capital Adequacy Assessment Process als regulatorischer Treiber eines aktiven Kreditportfoliomanagements," Discussion Papers in Business Administration 4831, University of Munich, Munich School of Management.
    12. Nicholas Apergis & Emmanuel Mamatzakis & Christos Staikouras, 2011. "Testing for Regime Changes in Greek Sovereign Debt Crisis," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 17(3), pages 258-273, August.

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