Citations for "Valuing Risky Fixed Rate Debt: An Extension"
by Briys, Eric & de Varenne, François
- repec:wyi:journl:002109 is not listed on IDEAS
- 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.
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"Euro corporate bonds risk factors,"
13440, University Library of Munich, Germany.
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- 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.
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"A Merton-model approach to assessing the default risk of UK public companies,"
Bank of England working papers
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- 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.
- 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.
- 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.
- 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.
- 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..
- repec:spr:compst:v:69:y:2009:i:3:p:439-455 is not listed on IDEAS
- Gürtler, Marc & Heithecker, Dirk, 2005. "Systematic credit cycle risk of financial collaterals: Modelling and evidence," Working Papers FW15V2, Technische Universität Braunschweig, Institute of Finance.
- Gordon Gemmill, 2002. "Testing Merton's Model for Credit Spreads on Zero-Coupon Bonds," Working Papers wp02-08, Warwick Business School, Finance Group.
- Giandomenico, Rossano, 2006. "Asset Liability Management in Insurance Company," MPRA Paper 16333, University Library of Munich, Germany, revised Jan 2009.
- 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.
- 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.
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- repec:spr:compst:v:63:y:2006:i:1:p:123-150 is not listed on IDEAS
- 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.
- HEGE, Ulrich & MELLA-BARRAL, Pierre, 2002.
"Repeated dilution of diffusely held debt,"
Les Cahiers de Recherche
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"Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy,"
Review of Financial Studies,
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- Maclachlan, Iain C, 2007. "An empirical study of corporate bond pricing with unobserved capital structure dynamics," MPRA Paper 28416, University Library of Munich, Germany.
- 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.
- Granlund , Peik, 2003. "Economic evaluation of bank exit regimes in US, EU and Japanese financial centres," Research Discussion Papers 5/2003, Bank of Finland.
- Georges Dionne & Sadok Laajimi & Sofiane Mejri & Madalina Petrescu, 2006.
"Estimation of the Default Risk of Publicly Traded Canadian Companies,"
Cahiers de recherche
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- Haishi Huang, 2009. "Convertible Bonds: Risks and Optimal Strategies," Bonn Econ Discussion Papers bgse07_2010, University of Bonn, Germany.
- 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.
- Francois, Pascal & Hubner, Georges, 2004. "Credit derivatives with multiple debt issues," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 997-1021, May.
- 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.
- 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.
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- 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.).