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Marco Realdon

Personal Details

First Name:Marco
Middle Name:
Last Name:Realdon
Suffix:
RePEc Short-ID:pre292
[This author has chosen not to make the email address public]

Affiliation

Department of Economics and Related Studies
University of York

York, United Kingdom
http://www.york.ac.uk/economics/

: (0)1904 323776

York YO10 5DD
RePEc:edi:deyoruk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Marco Realdon, 2007. "Extended-Gaussian Term Structure Models and Credit Risk Applications," Discussion Papers 07/27, Department of Economics, University of York.
  2. Marco Realdon, 2007. "An Extended Structural Credit Risk Model (forthcoming in the Icfai Journal of Financial Risk Management; all copyrights rest with the Icfai University Press)," Discussion Papers 07/26, Department of Economics, University of York.
  3. Marco Realdon, 2007. "A Two Factor Black-Karasinski Credit Default Swap Pricing Model (forthcoming in the Icfai Journal of Derivatives Markets, Vol IV, No 4, October 2007; all copyrights rest with the Icfai University Pres," Discussion Papers 07/25, Department of Economics, University of York.
  4. Marco Realdon, 2006. "The Target Rate and Term Structure of Interest Rates," Discussion Papers 06/15, Department of Economics, University of York.
  5. Marco Realdon, 2006. "Book Values and Market Values of Equity and Debt," Discussion Papers 06/11, Department of Economics, University of York.
  6. Marco Realdon, 2006. "Equity Valuation Under Stochastic Interest Rates," Discussion Papers 06/12, Department of Economics, University of York.
  7. Marco Realdon, 2006. "Valuation of the Firm's Liabilities when Equity Holders are also Creditors," Discussion Papers 06/16, Department of Economics, University of York.
  8. Marco Realdon, 2006. "Quadratic Term Structure Models in Discrete Time," Discussion Papers 06/01, Department of Economics, University of York.
  9. Marco Realdon, "undated". "About Debt and the Option to Extend Debt Maturity," Discussion Papers 03/20, Department of Economics, University of York.
  10. Marco Realdon, "undated". "Convertible Subordinated Debt Valuation and "Conversion in Distress"," Discussion Papers 03/18, Department of Economics, University of York.
  11. Marco Realdon, "undated". "Corporate Bond Valuation with Both Expected and Unexpected Default," Discussion Papers 03/21, Department of Economics, University of York.
  12. Marco Realdon, "undated". "Valuation of Put Options on Leveraged Equity," Discussion Papers 03/19, Department of Economics, University of York.
  13. Marco Realdon, "undated". "Valuation of Exchangeable Convertible Bonds," Discussion Papers 03/17, Department of Economics, University of York.

Articles

  1. Marco Realdon & Cheng Qin Shi, 2010. "'Extended black' sovereign credit default swap pricing model," Applied Economics Letters, Taylor & Francis Journals, vol. 17(12), pages 1133-1137.
  2. Realdon, Marco, 2009. ""Extended Black" term structure models," International Review of Financial Analysis, Elsevier, vol. 18(5), pages 232-238, December.
  3. Marco Realdon, 2008. "Credit default swap rates and stock prices," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 4(4), pages 241-248.
  4. Marco Realdon, 2007. "Valuation of the Firm's Liabilities When Equity Holders Are Also Creditors," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(5-6), pages 950-975.
  5. Marco Realdon, 2007. "Credit risk pricing with both expected and unexpected default," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 3(4), pages 225-230.
  6. Marco Realdon, 2006. "Pricing the Credit Risk of Secured Debt and Financial Leasing," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(7-8), pages 1298-1320.
  7. Realdon, Marco, 2006. "Revisiting cumulative preferred stock valuation," Finance Research Letters, Elsevier, vol. 3(1), pages 2-13, March.
  8. Realdon, Marco, 2006. "Quadratic term structure models in discrete time," Finance Research Letters, Elsevier, vol. 3(4), pages 277-289, December.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Marco Realdon, 2006. "Book Values and Market Values of Equity and Debt," Discussion Papers 06/11, Department of Economics, University of York.

    Cited by:

    1. Chinwe, R. Okoyeuzu, 2012. "Corporate Tax And Financing Decisions: An Emerging Market Experience," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 3(3), pages 5-16, June.

  2. Marco Realdon, 2006. "Valuation of the Firm's Liabilities when Equity Holders are also Creditors," Discussion Papers 06/16, Department of Economics, University of York.

    Cited by:

    1. Bruche, Max & Naqvi, Hassan, 2010. "A structural model of debt pricing with creditor-determined liquidation," Journal of Economic Dynamics and Control, Elsevier, vol. 34(5), pages 951-967, May.

  3. Marco Realdon, 2006. "Quadratic Term Structure Models in Discrete Time," Discussion Papers 06/01, Department of Economics, University of York.

    Cited by:

    1. Chung, Tsz-Kin & Hui, Cho-Hoi & Li, Ka-Fai, 2017. "Term-structure modelling at the zero lower bound: Implications for estimating the forward term premium," Finance Research Letters, Elsevier, vol. 21(C), pages 100-106.
    2. Andreasen, Martin M. & Christensen, Bent Jesper, 2015. "The SR approach: A new estimation procedure for non-linear and non-Gaussian dynamic term structure models," Journal of Econometrics, Elsevier, vol. 184(2), pages 420-451.
    3. Marco Realdon, 2006. "Equity Valuation Under Stochastic Interest Rates," Discussion Papers 06/12, Department of Economics, University of York.
    4. Anh Le & Bruno Feunou & Christian Lundblad & Jean-Sébastien Fontaine, 2015. "Tractable Term-Structure Models and the Zero Lower Bound," Staff Working Papers 15-46, Bank of Canada.
    5. Andreasen, Martin M & Meldrum, Andrew, 2015. "Dynamic term structure models: the best way to enforce the zero lower bound in the United States," Bank of England working papers 550, Bank of England.
    6. Andreasen, Martin & Meldrum, Andrew, 2013. "Likelihood inference in non-linear term structure models: the importance of the lower bound," Bank of England working papers 481, Bank of England.
    7. Realdon, Marco, 2016. "Tests of non linear Gaussian term structure models," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 44(C), pages 128-147.

Articles

  1. Realdon, Marco, 2009. ""Extended Black" term structure models," International Review of Financial Analysis, Elsevier, vol. 18(5), pages 232-238, December.

    Cited by:

    1. Realdon, Marco, 2016. "Tests of non linear Gaussian term structure models," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 44(C), pages 128-147.

  2. Marco Realdon, 2008. "Credit default swap rates and stock prices," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 4(4), pages 241-248.

    Cited by:

    1. Paul Hofmarcher & Kurt Hornik, 2013. "First Significant Digits and the Credit Derivative Market During the Financial Crisis," Contemporary Economics, University of Finance and Management in Warsaw, vol. 7(2), June.
    2. Marcel Ausloos & Rosella Castellano & Roy Cerqueti, 2016. "Regularities and Discrepancies of Credit Default Swaps: a Data Science approach through Benford's Law," Papers 1603.01103, arXiv.org.
    3. Wu, Po-Chin & Liu, Shiao-Yen & Chen, Che-Ying, 2016. "Re-examining risk premiums in the Fama–French model: The role of investor sentiment," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 154-171.

  3. Marco Realdon, 2007. "Valuation of the Firm's Liabilities When Equity Holders Are Also Creditors," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(5-6), pages 950-975.
    See citations under working paper version above.
  4. Marco Realdon, 2007. "Credit risk pricing with both expected and unexpected default," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 3(4), pages 225-230.

    Cited by:

    1. Hyong-Chol O & Dong-Hyok Kim & Jong-Jun Jo & Song-Hun Ri, 2013. "Integrals of Higher Binary Options and Defaultable Bond with Discrete Default Information," Papers 1305.6988, arXiv.org, revised Oct 2013.
    2. Hyong-Chol O. & Jong-Chol Kim & Il-Gwang Jon, 2017. "Numerical analysis for a unified 2 factor model of structural and reduced form types for corporate bonds with fixed discrete coupon," Papers 1709.06517, arXiv.org.

  5. Marco Realdon, 2006. "Pricing the Credit Risk of Secured Debt and Financial Leasing," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(7-8), pages 1298-1320.

    Cited by:

    1. Jong Chool Park & Qiang Wu, 2009. "Financial Restatements, Cost of Debt and Information Spillover: Evidence From the Secondary Loan Market," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(9-10), pages 1117-1147.
    2. Serafeim Tsoukas & Marina-Eliza Spaliara, 2014. "Market Implied Ratings and Financing Constraints: Evidence from US Firms," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 41(1-2), pages 242-269, January.
    3. Golbeck, Steven & Linetsky, Vadim, 2013. "Asset financing with credit risk," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 43-59.

  6. Realdon, Marco, 2006. "Quadratic term structure models in discrete time," Finance Research Letters, Elsevier, vol. 3(4), pages 277-289, December.
    See citations under working paper version above.

More information

Research fields, statistics, top rankings, if available.

Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 13 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-CFN: Corporate Finance (7) 2003-11-30 2003-11-30 2003-11-30 2003-12-14 2006-06-24 2007-09-30 2007-09-30. Author is listed
  2. NEP-RMG: Risk Management (6) 2003-11-30 2003-11-30 2003-11-30 2003-11-30 2003-12-14 2007-09-30. Author is listed
  3. NEP-FIN: Finance (5) 2006-01-24 2006-06-10 2006-06-24 2006-09-11 2006-09-11. Author is listed
  4. NEP-FMK: Financial Markets (4) 2006-06-10 2006-06-24 2006-09-11 2006-09-11
  5. NEP-ACC: Accounting & Auditing (1) 2006-06-24
  6. NEP-BAN: Banking (1) 2007-09-30
  7. NEP-CBA: Central Banking (1) 2006-09-11
  8. NEP-MAC: Macroeconomics (1) 2006-09-11
  9. NEP-MON: Monetary Economics (1) 2006-09-11
  10. NEP-REG: Regulation (1) 2006-09-11

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