A Simple Continuous Measure of Credit Risk
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Other versions of this item:
- Bystrom, Hans & Kwon, Oh Kang, 2007. "A simple continuous measure of credit risk," International Review of Financial Analysis, Elsevier, vol. 16(5), pages 508-523.
- Hans Byström & Oh-Kang Kwon, 2003. "A Simple Continuous Measure of Credit Risk," Research Paper Series 111, Quantitative Finance Research Centre, University of Technology, Sydney.
References listed on IDEAS
- Oh-Kang Kwon, 2002. "A General Framework for the Construction and the Smoothing of Forward Rate Curves," Research Paper Series 73, Quantitative Finance Research Centre, University of Technology, Sydney.
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Cited by:
- Aleksandra Wojcicka, 2012. "Calibration of a credit rating scale for Polish companies," Operations Research and Decisions, Wroclaw University of Technology, Institute of Organization and Management, vol. 3, pages 63-73.
- Su-Lien Lu, 2013. "Measuring credit risk by using a parameterized model under risk-neutral measure," Applied Economics Letters, Taylor & Francis Journals, vol. 20(8), pages 719-723, May.
- Mariusz Górajski & Dobromił Serwa & Zuzanna Wośko, 2019.
"Measuring expected time to default under stress conditions for corporate loans,"
Empirical Economics, Springer, vol. 57(1), pages 31-52, July.
- Mariusz Górajski & Dobromił Serwa & Zuzanna Wośko, 2016. "Measuring expected time to default under stress conditions for corporate loans," NBP Working Papers 237, Narodowy Bank Polski, Economic Research Department.
- Carl Chiarella & Christina Nikitopoulos Sklibosios & Erik Schlögl, 2007.
"A Markovian Defaultable Term Structure Model With State Dependent Volatilities,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(01), pages 155-202.
- Carl Chiarella & Erik Schlögl & Christina Nikitopoulos-Sklibosios, 2004. "A Markovian Defaultable Term Structure Model with State Dependent Volatilities," Research Paper Series 135, Quantitative Finance Research Centre, University of Technology, Sydney.
- Christina Nikitopoulos-Sklibosios, 2005. "A Class of Markovian Models for the Term Structure of Interest Rates Under Jump-Diffusions," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 6, July-Dece.
- Aleksandra Wojcicka-Wojtowicz, 2018. "Credit risk mangement in finance - a review of various approaches," Operations Research and Decisions, Wroclaw University of Technology, Institute of Organization and Management, vol. 4, pages 99-106.
- Christina Nikitopoulos-Sklibosios, 2005. "A Class of Markovian Models for the Term Structure of Interest Rates Under Jump-Diffusions," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2005.
More about this item
Keywords
credit risk; credit rating; corporate bonds;JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CFN-2003-11-09 (Corporate Finance)
- NEP-FMK-2003-11-09 (Financial Markets)
- NEP-RMG-2003-11-09 (Risk Management)
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