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DOI: 10.1007/s10690-016-9217-7
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Cited by:
- Hong-Ming Yin & Jin Liang & Yuan Wu, 2018. "On a New Corporate Bond Pricing Model with Potential Credit Rating Change and Stochastic Interest Rate," JRFM, MDPI, vol. 11(4), pages 1-12, December.
- Takeaki Kariya & Yoshiro Yamamura & Koji Inui, 2019. "Empirical Credit Risk Ratings of Individual Corporate Bonds and Derivation of Term Structures of Default Probabilities," JRFM, MDPI, vol. 12(3), pages 1-29, July.
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Keywords
Credit risk price spread (CRiPS); Standardized credit risk price spread (S-CRiPS); Corporate bond; Term structure of default probabilities (TSDP); Market credit rating (M-Rating);All these keywords.
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