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A review of recent books on credit risk

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  • Til Schuermann

    (Federal Reserve Bank of New York and Wharton Financial Institutions Center, New York, USA)

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  • Til Schuermann, 2005. "A review of recent books on credit risk," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(1), pages 123-130.
    • Handle: RePEc:jae:japmet:v:20:y:2005:i:1:p:123-130
    DOI: 10.1002/jae.827
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    References listed on IDEAS

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    1. Berger, Allen N. & Herring, Richard J. & Szego, Giorgio P., 1995. "The role of capital in financial institutions," Journal of Banking & Finance, Elsevier, vol. 19(3-4), pages 393-430, June.
    2. Christopher James & David C. Smith, 2000. "Are Banks Still Special? New Evidence on Their Role in the Corporate Capital‐Raising Process," Journal of Applied Corporate Finance, Morgan Stanley, vol. 13(1), pages 52-63, March.
    3. Duffie, Darrell & Lando, David, 2001. "Term Structures of Credit Spreads with Incomplete Accounting Information," Econometrica, Econometric Society, vol. 69(3), pages 633-664, May.
    4. Duffie, Darrell & Singleton, Kenneth J, 1999. "Modeling Term Structures of Defaultable Bonds," Review of Financial Studies, Society for Financial Studies, vol. 12(4), pages 687-720.
    5. Edward I. Altman, 1968. "Financial Ratios, Discriminant Analysis And The Prediction Of Corporate Bankruptcy," Journal of Finance, American Finance Association, vol. 23(4), pages 589-609, September.
    6. 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.
    7. Edward I. Altman, 1968. "The Prediction Of Corporate Bankruptcy: A Discriminant Analysis," Journal of Finance, American Finance Association, vol. 23(1), pages 193-194, March.
    8. Young Ho Eom, 2004. "Structural Models of Corporate Bond Pricing: An Empirical Analysis," Review of Financial Studies, Society for Financial Studies, vol. 17(2), pages 499-544.
    9. Edwin J. Elton & Martin J. Gruber & Deepak Agrawal & Christopher Mann, 2001. "Explaining the Rate Spread on Corporate Bonds," Journal of Finance, American Finance Association, vol. 56(1), pages 247-277, February.
    10. Kenneth D. Garbade, 2001. "Pricing Corporate Securities as Contingent Claims," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262072238, December.
    11. Shumway, Tyler, 2001. "Forecasting Bankruptcy More Accurately: A Simple Hazard Model," The Journal of Business, University of Chicago Press, vol. 74(1), pages 101-124, January.
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    Cited by:

    1. Tawei Wang & Karthik N. Kannan & Jackie Rees Ulmer, 2013. "The Association Between the Disclosure and the Realization of Information Security Risk Factors," Information Systems Research, INFORMS, vol. 24(2), pages 201-218, June.

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