Citations for "Valuing Risky Fixed Rate Debt: An Extension"
by Briys, Eric & de Varenne, François
- Abel Elizalde, 2006. "Credit Risk Models Ii: Structural Models," Working Papers wp2006_0606, CEMFI.
- Bernard, Carole & Le Courtois, Olivier & Quittard-Pinon, François, 2008. "Pricing derivatives with barriers in a stochastic interest rate environment," Journal of Economic Dynamics and Control, Elsevier, vol. 32(9), pages 2903-2938, September.
- Ulrich Hege & Pierre Mella-Barral, 2005.
"Repeated Dilution of Diffusely Held Debt,"
- Wang, Chuan-Ju & Dai, Tian-Shyr & Lyuu, Yuh-Dauh, 2014. "Evaluating corporate bonds with complicated liability structures and bond provisions," European Journal of Operational Research, Elsevier, vol. 237(2), pages 749-757.
- Alexander David, 1998. "Pricing the strategic value of poison put bonds," Finance and Economics Discussion Series 1998-06, Board of Governors of the Federal Reserve System (U.S.).
- repec:spr:compst:v:69:y:2009:i:3:p:439-455 is not listed on IDEAS
- Ballestra, Luca Vincenzo & Pacelli, Graziella, 2014. "Valuing risky debt: A new model combining structural information with the reduced-form approach," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 261-271.
- Maria Carmen Badia Batlle & M. Mercedes Galisteo Rodriguez & M. Teresa Preixens Benedicto, 2006. "Un modelo de riesgo de credito basado en opciones compuestas con barrera. Aplicacion al mercado continuo espanol," Working Papers in Economics 156, Universitat de Barcelona. Espai de Recerca en Economia.
- Samuel Chege Maina, 2011. "Credit Risk Modelling in Markovian HJM Term Structure Class of Models with Stochastic Volatility," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 5, October.
- Gurdip Bakshi & Dilip B. Madan & Frank X. 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.).
- Bernard, Carole & Le Courtois, Olivier & Quittard-Pinon, Francois, 2005. "Market value of life insurance contracts under stochastic interest rates and default risk," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 499-516, June.
- Augusto Castillo, 2004. "Firm and Corporate Bond Valuation: A Simulation Dynamic Programming Approach," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 41(124), pages 345-360.
- Eric Wong & Cho-Hoi Hui, 2009. "A Liquidity Risk Stress-Testing Framework with Interaction between Market and Credit Risks," Working Papers 0906, Hong Kong Monetary Authority.
- Bhanot, Karan & Mello, Antonio S., 2006. "Should corporate debt include a rating trigger?," Journal of Financial Economics, Elsevier, vol. 79(1), pages 69-98, January.
- Qiang Dai & Kenneth Singleton, 2003. "Term Structure Dynamics in Theory and Reality," Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 631-678, July.
- Martin Dòzsa & Karel Janda, 2015. "Corporate asset pricing models and debt contracts," CAMA Working Papers 2015-33, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Romain Cuchet & Pascal Fran�Ois & Georges H�Bner, 2013.
"Currency total return swaps: valuation and risk factor analysis,"
Taylor & Francis Journals, vol. 13(7), pages 1135-1148, February.
- Romain Cuchet & Pascal François & Georges Hübner, 2011. "Currency Total Return Swaps: Valuation and Risk Factor Analysis," Cahiers de recherche 1128, CIRPEE.
- Li, Ka Leung & Wong, Hoi Ying, 2008. "Structural models of corporate bond pricing with maximum likelihood estimation," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 751-777, September.
- Brockman, Paul & Turtle, H. J., 2003. "A barrier option framework for corporate security valuation," Journal of Financial Economics, Elsevier, vol. 67(3), pages 511-529, March.
- Wonho Wilson Choi & Andrew Metrick & Ayako Yasuda, 2011. "A Model of Private Equity Fund Compensation," NBER Working Papers 17568, National Bureau of Economic Research, Inc.
- Holger Kraft & Mogens Steffensen, 2006. "Portfolio problems stopping at first hitting time with application to default risk," Mathematical Methods of Operations Research, Springer, vol. 63(1), pages 123-150, February.
- Masaaki Kijima & Teruyoshi Suzuki & Keiichi Tanaka, 2009. "A latent process model for the pricing of corporate securities," Mathematical Methods of Operations Research, Springer, vol. 69(3), pages 439-455, July.
- Castagnetti, Carolina & Rossi, Eduardo, 2008.
"Euro corporate bonds risk factors,"
13440, University Library of Munich, Germany.
- Georges Dionne & Sadok Laajimi & Sofiane Mejri & Madalina Petrescu, 2006.
"Estimation of the Default Risk of Publicly Traded Canadian Companies,"
Cahiers de recherche
- Georges Dionne & Sadok Laajimi & Sofiane Mejri & Madalina Petrescu, 2006. "Estimation of the Default Risk of Publicly Traded Canadian Companies," Staff Working Papers 06-28, Bank of Canada.
- Perrakis, Stylianos & Zhong, Rui, 2015. "Credit spreads and state-dependent volatility: Theory and empirical evidence," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 215-231.
- Hui, C.H. & Lo, C.F. & Wong, T.C. & Man, P.K., 2006. "Measuring provisions for collateralised retail lending," Journal of Economics and Business, Elsevier, vol. 58(4), pages 343-361.
- repec:spr:compst:v:63:y:2006:i:1:p:123-150 is not listed on IDEAS
- Moraux, Franck, 2004.
"Modeling the business risk of financially weakened firms: A new approach for corporate bond pricing,"
International Review of Financial Analysis,
Elsevier, vol. 13(1), pages 47-61.
- Franck Moraux, 2004. "Modeling the business risk of financially weakened firms: A new approach for corporate bond pricing," Post-Print halshs-00010138, HAL.
- Granlund , Peik, 2003. "Economic evaluation of bank exit regimes in US, EU and Japanese financial centres," Research Discussion Papers 5/2003, Bank of Finland.
- Maclachlan, Iain C, 2007. "An empirical study of corporate bond pricing with unobserved capital structure dynamics," MPRA Paper 28416, University Library of Munich, Germany.
- Merxe Tudela & Garry Young, 2003.
"A Merton-model approach to assessing the default risk of UK public companies,"
Bank of England working papers
194, Bank of England.
- M. Tudela & G. Young, 2005. "A Merton-Model Approach To Assessing The Default Risk Of Uk Public Companies," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(06), pages 737-761.
- Tudela, Merxe & Garry Young, 2003. "A Merton Model Approach to Assessing the Default Risk of UK Public Companies," Royal Economic Society Annual Conference 2003 207, Royal Economic Society.
- Acharya, Viral V & Carpenter, Jennifer, 2002.
"Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy,"
CEPR Discussion Papers
3328, C.E.P.R. Discussion Papers.
- Viral V. Acharya & Jennifer N. Carpenter, 2002. "Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy," Review of Financial Studies, Society for Financial Studies, vol. 15(5), pages 1355-1383.
- Giandomenico, Rossano, 2006. "Asset Liability Management in Insurance Company," MPRA Paper 16333, University Library of Munich, Germany, revised Jan 2009.
- Hai Lin & Chunchi Wu, 2013. "Term Structure of Default-Free and Defaultable Securities: Theory and Empirical Evidence," Papers 2013-10-14, Journal.
- Jaime Casassus & Eduardo Walker, 2013. "Adjusted Money's Worth Ratios in Life Annuities," Documentos de Trabajo 434, Instituto de Economia. Pontificia Universidad Católica de Chile..
- Robert Elliott & Jia Shen, 2015. "Dynamic optimal capital structure with regime switching," Annals of Finance, Springer, vol. 11(2), pages 199-220, May.
- 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.
- David, Alexander, 2001. "Pricing the strategic value of putable securities in liquidity crises," Journal of Financial Economics, Elsevier, vol. 59(1), pages 63-99, January.
- Gordon Gemmill, 2002. "Testing Merton's Model for Credit Spreads on Zero-Coupon Bonds," Working Papers wp02-08, Warwick Business School, Finance Group.
- Gürtler, Marc & Heithecker, Dirk, 2005. "Systematic credit cycle risk of financial collaterals: Modelling and evidence," Working Papers FW15V2, Technische Universität Braunschweig, Institute of Finance.
- Francois, Pascal & Hubner, Georges, 2004. "Credit derivatives with multiple debt issues," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 997-1021, May.
- Ming Xi Huang, 2010. "Modelling Default Correlations in a Two-Firm Model with Dynamic Leverage Ratios," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 15, October.
- Gürtler, Marc & Heithecker, Dirk, 2004. "Modellkonsistente Bestimmung des LGD im IRB-Ansatz von Basel II," Working Papers FW08V3, Technische Universität Braunschweig, Institute of Finance.
- Petra Andrlikova, 2014. "Is Barrier version of Merton model more realistic? Evidence from Europe," Proceedings of International Academic Conferences 0801868, International Institute of Social and Economic Sciences.
- Hainaut, Donatien, 2010. "Optimal design of profit sharing rates by FFT," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 470-478, June.
- João Nunes, 2011. "American options and callable bonds under stochastic interest rates and endogenous bankruptcy," Review of Derivatives Research, Springer, vol. 14(3), pages 283-332, October.
- Haishi Huang, 2009. "Convertible Bonds: Risks and Optimal Strategies," Bonn Econ Discussion Papers bgse07_2010, University of Bonn, Germany.
- Hsu, Jason C. & Saa-Requejo, Jesus & Santa-Clara, Pedro, 2003. "Bond Pricing with Default Risk," University of California at Los Angeles, Anderson Graduate School of Management qt5bb1j39q, Anderson Graduate School of Management, UCLA.
- Szu-Lang Liao & Hsing-Hua Huang, 2005. "Pricing Black-Scholes options with correlated interest rate risk and credit risk: an extension," Quantitative Finance, Taylor & Francis Journals, vol. 5(5), pages 443-457.
- Damiano Brigo & Massimo Morini & Marco Tarenghi, 2009. "Credit Calibration with Structural Models: The Lehman case and Equity Swaps under Counterparty Risk," Papers 0912.4404, arXiv.org.
- Marcel Peter & MartÃn Grandes, 2005. "How Important Is Sovereign Risk in Determining Corporate Default Premia? The Case of South Africa," IMF Working Papers 05/217, International Monetary Fund.