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Citations for " Contingent Claims Analysis of Corporate Capital Structures: An Empirical Investigation"

by Fisher, Lawrence

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  1. Alina Sima (Grigore) & Alin Sima, 2011. "Distance to Default Estimates for Romanian Listed Companies," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 3(2), pages 091-106, December.
  2. Cho-Jieh Chen & Harry Panjer, 2009. "A bridge from ruin theory to credit risk," Review of Quantitative Finance and Accounting, Springer, vol. 32(4), pages 373-403, May.
  3. Liuren Wu & Frank Xiaoling Zhang, 2005. "A no-arbitrage analysis of economic determinants of the credit spread term structure," Finance and Economics Discussion Series 2005-59, Board of Governors of the Federal Reserve System (U.S.).
  4. Yingbin Xiao & Dale F. Gray & Cheng Hoon Lim & Michael T. Gapen, 2004. "The Contingent Claims Approach to Corporate Vulnerability Analysis; Estimating Default Risk and Economy-Wide Risk Transfer," IMF Working Papers 04/121, International Monetary Fund.
  5. Hayne E. Leland, 1998. "Agency Costs, Risk Management, and Capital Structure," Journal of Finance, American Finance Association, vol. 53(4), pages 1213-1243, 08.
  6. Damiano Brigo, 2011. "Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending," Papers 1111.1331, arXiv.org, revised Jun 2012.
  7. Reneby, Joel & Ericsson, Jan, 2001. "The Valuation of Corporate Liabilities: Theory and Tests," SSE/EFI Working Paper Series in Economics and Finance 445, Stockholm School of Economics, revised 19 Dec 2002.
  8. Bartram, Söhnke M. & Brown, Gregory W. & Hund, John E., 2005. "Estimating Systemic Risk in the International Financial System," MPRA Paper 6658, University Library of Munich, Germany.
  9. Van Landschoot, Astrid, 2004. "Determinants of euro term structure of credit spreads," Working Paper Series 0397, European Central Bank.
  10. Jan Ericsson & Kris Jacobs & Rodolfo A. Oviedo, 2004. "The Determinants of Credit Default Swap Premia," CIRANO Working Papers 2004s-55, CIRANO.
  11. Gurdip Bakshi & Dilip Madan & Frank Zhang, 2001. "Investigating the sources of default risk: lessons from empirically evaluating credit risk models," Finance and Economics Discussion Series 2001-15, Board of Governors of the Federal Reserve System (U.S.).
  12. Delia Coculescu & Hélyette Geman & Monique Jeanblanc, 2008. "Valuation of default-sensitive claims under imperfect information," Finance and Stochastics, Springer, vol. 12(2), pages 195-218, April.
  13. Hassan Naqvi, 2004. "The Valuation of Corporate Debt with Default Risk," Finance 0410010, EconWPA.
  14. Jun Yang, 2008. "Macroeconomic Determinants of the Term Structure of Corporate Spreads," Working Papers 08-29, Bank of Canada.
  15. Marco Sorge & Blaise Gadanecz, 2008. "The term structure of credit spreads in project finance Supplementary material for this article can be found at http:||www.interscience.wiley.com|jpages|1076-9307|suppmat|ijfe.350.html," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(1), pages 68-81.
  16. Hongming Huang & Yildiray Yildirim, 2008. "Leverage, options liabilities, and corporate bond pricing," Review of Derivatives Research, Springer, vol. 11(3), pages 245-276, October.
  17. Howard Qi & Sheen Liu & Chunchi Wu, 2009. "On the calibration of structural credit spread models," Annals of Finance, Springer, vol. 5(2), pages 189-208, March.
  18. Monique Jeanblanc & Stoyan Valchev, 2007. "Default-risky bond prices with jumps, liquidity risk and incomplete information," Decisions in Economics and Finance, Springer, vol. 30(2), pages 109-136, November.
  19. Song Han & Hao Zhou, 2011. "Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data," Working Papers 022011, Hong Kong Institute for Monetary Research.
  20. Joao Teixeira, 2007. "An empirical analysis of structural models of corporate debt pricing," Applied Financial Economics, Taylor & Francis Journals, vol. 17(14), pages 1141-1165.
  21. Benjamin Yibin Zhang & Hao Zhou & Haibin Zhu, 2009. "Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms," Review of Financial Studies, Society for Financial Studies, vol. 22(12), pages 5099-5131, December.
  22. Paul Kupiec, 2007. "Financial stability and Basel II," Annals of Finance, Springer, vol. 3(1), pages 107-130, January.
  23. Abel Elizalde, 2006. "Credit Risk Models Ii: Structural Models," Working Papers wp2006_0606, CEMFI.
  24. Iryna V. Ivaschenko, 2003. "How Much Leverage is too Much, or Does Corporate Risk Determine the Severity of a Recession?," IMF Working Papers 03/3, International Monetary Fund.
  25. Kanak Patel & Ricardo Pereira, 2007. "Expected Default Probabilities in Structural Models: Empirical Evidence," The Journal of Real Estate Finance and Economics, Springer, vol. 34(1), pages 107-133, January.
  26. Pamela Nickell & William Perraudin & Simone Varotto, 2001. "Ratings versus equity-based credit risk modelling: an empirical analysis," Bank of England working papers 132, Bank of England.
  27. Max Bruche, 2006. "Estimating Structural Models Of Corporate Bond Prices," Working Papers wp2006_0610, CEMFI.
  28. Fulop, Andras, 2006. "Feedback Effects of Rating Downgrades," ESSEC Working Papers DR 06016, ESSEC Research Center, ESSEC Business School.
  29. Duffee, Gregory R, 1999. "Estimating the Price of Default Risk," Review of Financial Studies, Society for Financial Studies, vol. 12(1), pages 197-226.
  30. John F. Crean, 2009. "Credit Risk, Default Loss, and the Economics of Bankruptcy," Working Papers tecipa-354, University of Toronto, Department of Economics.
  31. Ericsson, Jan & Reneby, Joel, 2003. "Valuing Corporate Liabilities," SIFR Research Report Series 15, Institute for Financial Research.
  32. Rudiger Kiesel & William Perraudin & Alex Taylor, 2001. "The structure of credit risk: spread volatility and ratings transitions," Bank of England working papers 131, Bank of England.
  33. Gorton, G. & Khan, J., 1992. "The Design of Bank Loan Contracts, Collateral, and Renegociation," RCER Working Papers 327, University of Rochester - Center for Economic Research (RCER).
  34. Tsung-Kang Chen & Hsien-Hsing Liao & Chia-Wu Lu, 2011. "A flow-based corporate credit model," Review of Quantitative Finance and Accounting, Springer, vol. 36(4), pages 517-532, May.
  35. Long Chen & Hui Guo & Lu Zhang, 2006. "Equity market volatility and expected risk premium," Working Papers 2006-007, Federal Reserve Bank of St. Louis.
  36. Düllmann, Klaus & Kunisch, Michael & Küll, Jonathan, 2008. "Estimating asset correlations from stock prices or default rates: which method is superior?," Discussion Paper Series 2: Banking and Financial Studies 2008,04, Deutsche Bundesbank, Research Centre.
  37. Jing-zhi Huang & Hao Zhou, 2008. "Specification analysis of structural credit risk models," Finance and Economics Discussion Series 2008-55, Board of Governors of the Federal Reserve System (U.S.).
  38. Vogl, Konstantin & Maltritz, Dominik & Huschens, Stefan & Karmann, Alexander, 2006. "Country Default Probabilities: Assessing and Backtesting," Dresden Discussion Paper Series in Economics 12/06, Dresden University of Technology, Faculty of Business and Economics, Department of Economics.
  39. Brock Johnson & Jonathan Batten, 2003. "Forecasting Credit Spread Volatility: Evidence from the Japanese Eurobond Market," Asia-Pacific Financial Markets, Springer, vol. 10(4), pages 335-357, December.
  40. Damiano Brigo & Marco Tarenghi, 2009. "Credit Default Swap Calibration and Counterparty Risk Valuation with a Scenario based First Passage Model," Papers 0912.3031, arXiv.org.
  41. Dan Covitz & Chris Downing, 2002. "Insolvency or liquidity squeeze? Explaining very short-term corporate yield spreads," Finance and Economics Discussion Series 2002-45, Board of Governors of the Federal Reserve System (U.S.).
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