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Estimating the Price of Default Risk

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Cited by:

  1. Masakazu Miura & Kenichiro Tamaki & Takayuki Shiohama, 2013. "Asymptotic Expansion for Term Structures of Defaultable Bonds with Non-Gaussian Dependent Innovations," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(4), pages 311-344, November.
  2. Heidari, Massoud & Wu, Liuren, 2009. "A Joint Framework for Consistently Pricing Interest Rates and Interest Rate Derivatives," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(3), pages 517-550, June.
  3. Xie, Yan Alice & Liu, Sheen & Wu, Chunchi & Anderson, Bing, 2009. "The effects of default and call risk on bond duration," Journal of Banking & Finance, Elsevier, vol. 33(9), pages 1700-1708, September.
  4. Kwamie Dunbar, . "An Empirical Review of United States Corporate Default Swap Valuation: The Implications of Functional Forms," Fordham Economics Dissertations, Fordham University, Department of Economics, number 2005.2.
  5. Gurdip Bakshi & Dilip B. Madan & Frank X. Zhang, 2001. "Understanding the role of recovery in default risk models: empirical comparisons and implied recovery rates," Finance and Economics Discussion Series 2001-37, Board of Governors of the Federal Reserve System (U.S.).
  6. Alain Monfort & Jean-Paul Renne, 2013. "Default, Liquidity, and Crises: an Econometric Framework," Journal of Financial Econometrics, Oxford University Press, vol. 11(2), pages 221-262, March.
  7. Cremers, Martijn & Driessen, Joost & Maenhout, Pascal & Weinbaum, David, 2008. "Individual stock-option prices and credit spreads," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2706-2715, December.
  8. Arakelyan, Armen & Serrano, Pedro, 2016. "Liquidity in Credit Default Swap Markets," Journal of Multinational Financial Management, Elsevier, vol. 37, pages 139-157.
  9. Anginer, Deniz & Warburton, A. Joseph, 2014. "The Chrysler effect: The impact of government intervention on borrowing costs," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 62-79.
  10. Junbo Wang & Chunchi Wu & Frank X. Zhang, 2005. "Liquidity, default, taxes and yields on municipal bonds," Finance and Economics Discussion Series 2005-35, Board of Governors of the Federal Reserve System (U.S.).
  11. Pesaran, M. Hashem & Schuermann, Til & Treutler, Bjorn-Jakob & Weiner, Scott M., 2006. "Macroeconomic Dynamics and Credit Risk: A Global Perspective," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(5), pages 1211-1261, August.
  12. Annaert, Jan & De Ceuster, Marc & Van Roy, Patrick & Vespro, Cristina, 2013. "What determines Euro area bank CDS spreads?," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 444-461.
  13. Kim Oosterlinck & Loredana Ureche-Rangau, 2004. "Entre la peste et le choléra: le détenteur d'obligations peut préférer la répudiation au défaut," Working Papers CEB 04-021.RS, ULB -- Universite Libre de Bruxelles.
  14. Albanese, Claudio & Chen, Oliver X., 2006. "Implied migration rates from credit barrier models," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 607-626, February.
  15. 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.
  16. Brian BARNARD, 2017. "Rating Migration and Bond Valuation: Decomposing Rating Migration Matrices from Market Data via Default Probability Term Structures," Expert Journal of Finance, Sprint Investify, vol. 5, pages 49-72.
  17. Aydin AKGUN,, 2001. "Defaultable Security Valuation and Model Risk," FAME Research Paper Series rp28, International Center for Financial Asset Management and Engineering.
  18. Davide Radi & Vu Phuong Hoang & Gabriele Torri & Hana Dvořáčková, 2021. "A revised version of the Cathcart & El-Jahel model and its application to CDS market," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 669-705, December.
  19. Frank X. Zhang, 2003. "What did the credit market expect of Argentina default? Evidence from default swap data," Finance and Economics Discussion Series 2003-25, Board of Governors of the Federal Reserve System (U.S.).
  20. Giampaolo Gabbi & Andrea Sironi, 2005. "Which factors affect corporate bonds pricing? Empirical evidence from eurobonds primary market spreads," The European Journal of Finance, Taylor & Francis Journals, vol. 11(1), pages 59-74.
  21. Frank Zhang, 2010. "An empirical analysis of alternative recovery risk models and implied recovery rates," Review of Derivatives Research, Springer, vol. 13(2), pages 101-124, July.
  22. Anginer, Deniz & Yildizhan, Celim, 2009. "Is there a Distress Risk Anomaly? Pricing of Systematic Default Risk in the Cross Section of Equity Returns," MPRA Paper 53885, University Library of Munich, Germany, revised 23 Apr 2013.
  23. Qiang Dai & Kenneth Singleton, 2003. "Term Structure Dynamics in Theory and Reality," The Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 631-678, July.
  24. Jarrow, Robert & Li, Haitao & Liu, Sheen & Wu, Chunchi, 2010. "Reduced-form valuation of callable corporate bonds: Theory and evidence," Journal of Financial Economics, Elsevier, vol. 95(2), pages 227-248, February.
  25. Sanjiv Ranjan Das & Rangarajan K. Sundaram, 1998. "A Direct Approach to Arbitrage-Free Pricing of Derivatives," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-013, New York University, Leonard N. Stern School of Business-.
  26. Anginer, Deniz & Mansi, Sattar & Warburton, A. Joseph & Yildizhan, Celim, 2011. "Firm Reputation and Cost of Debt Capital," MPRA Paper 64965, University Library of Munich, Germany, revised 05 Jun 2015.
  27. Martin M. Andreasen & Jens H. E. Christensen & Glenn D. Rudebusch, 2017. "Term Structure Analysis with Big Data," Working Paper Series 2017-21, Federal Reserve Bank of San Francisco.
  28. Zinna, Gabriele, 2013. "Sovereign default risk premia: Evidence from the default swap market," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 15-35.
  29. Murphy, Austin, 2003. "An empirical analysis of the structure of credit risk premiums in the Eurobond market," Journal of International Money and Finance, Elsevier, vol. 22(6), pages 865-885, November.
  30. Diaz Weigel, Diana & Gemmill, Gordon, 2006. "What drives credit risk in emerging markets? The roles of country fundamentals and market co-movements," Journal of International Money and Finance, Elsevier, vol. 25(3), pages 476-502, April.
  31. Huang, Guan-Ying & Huang, Henry H. & Lee, Chun I, 2019. "Is CEO pay disparity relevant to seasoned bondholders?," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 271-289.
  32. Bruche, Max & González-Aguado, Carlos, 2010. "Recovery rates, default probabilities, and the credit cycle," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 754-764, April.
  33. H. Peter Boswijk & Roger J. A. Laeven & Evgenii Vladimirov, 2022. "Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation," Papers 2210.06217, arXiv.org.
  34. Frank Skinner & Nicholas Papageorgiou, 2001. "Credit Spreads and the Treasury Zero Coupon Spot Curve," ICMA Centre Discussion Papers in Finance icma-dp2001-06, Henley Business School, University of Reading, revised Jul 2002.
  35. Antje Berndt & Rohan Douglas & Darrell Duffie & Mark Ferguson, 2018. "Corporate Credit Risk Premia [Fallen angels and price pressure]," Review of Finance, European Finance Association, vol. 22(2), pages 419-454.
  36. Das, Sanjiv Ranjan & Acharya, Viral & Sundaram, Rangarajan K, 2002. "Pricing Credit Derivatives with Rating Transitions," CEPR Discussion Papers 3329, C.E.P.R. Discussion Papers.
  37. Serafín Frache & Gabriel Katz, 2004. "Estimating a Risky Term Structure of Uruguayan Sovereign Bonds," Documentos de Trabajo (working papers) 0304, Department of Economics - dECON.
  38. Antonio Díaz & Francisco Jareño & Eliseo Navarro, 2022. "Yield curve data choice and potential moral hazard: An empirical exercise on pricing callable bonds," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 2124-2145, April.
  39. Høg, Espen P. & Frederiksen, Per H., 2006. "The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application," Finance Research Group Working Papers F-2006-01, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  40. Arakelyan, Armen & Rubio, Gonzalo & Serrano, Pedro, 2015. "The reward for trading illiquid maturities in credit default swap markets," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 376-389.
  41. Liu, Jun & Longstaff, Francis A. & Mandell, Ravit E., 2000. "The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads," University of California at Los Angeles, Anderson Graduate School of Management qt0zw4f9w6, Anderson Graduate School of Management, UCLA.
  42. Wahyudi, Imam & Robbi, Abdu, 2009. "Exploring Determinant Factors of Bond Trading with Inventory Management Theory (Case Study of Indonesian Capital Market, January – March 2009)," MPRA Paper 59883, University Library of Munich, Germany, revised 16 Jul 2010.
  43. Lei, Jin & Qiu, Jiaping & Wan, Chi & Yu, Fan, 2021. "Credit risk spillovers and cash holdings," Journal of Corporate Finance, Elsevier, vol. 68(C).
  44. Peroni Chiara, 2009. "A Non-Parametric Investigation of Risk Premia," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(4), pages 1-52, September.
  45. Bhanu Pratap Singh Thakur & M. Kannadhasan & Vinay Goyal, 2018. "Determinants of corporate credit spread: evidence from India," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 45(1), pages 59-73, March.
  46. Chang, Charles & Fuh, Cheng-Der & Hsu, Ya-Hui, 2008. "ESO compensation: The roles of default risk, employee sentiment, and insider information," Journal of Corporate Finance, Elsevier, vol. 14(5), pages 630-641, December.
  47. Marco Realdon, 2007. "Extended-Gaussian Term Structure Models and Credit Risk Applications," Discussion Papers 07/27, Department of Economics, University of York.
  48. Murillo Campello & Long Chen & Lu Zhang, 2008. "Expected returns, yield spreads, and asset pricing tests," The Review of Financial Studies, Society for Financial Studies, vol. 21(3), pages 1297-1338, May.
  49. Ericsson, Jan & Jacobs, Kris & Oviedo, Rodolfo, 2009. "The Determinants of Credit Default Swap Premia," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(1), pages 109-132, February.
  50. Chiang, Shu Ling & Yang, Tyler T. & Tsai, Ming Shann, 2016. "Assessing mortgage servicing rights using a reduced-form model: Considering the effects of interest rate risks, prepayment and default risks, and random state variables," Journal of Housing Economics, Elsevier, vol. 32(C), pages 29-46.
  51. Jayadev M. & Joshy Jacob, 2010. "Default Risk Characteristics of Poll-Based Bond Spreads," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 9(1), pages 51-70, April.
  52. 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.
  53. Stephen Zamore & Kwame Ohene Djan & Ilan Alon & Bersant Hobdari, 2018. "Credit Risk Research: Review and Agenda," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 54(4), pages 811-835, March.
  54. Hami Amiraslani & Karl V. Lins & Henri Servaes & Ane Tamayo, 2023. "Trust, social capital, and the bond market benefits of ESG performance," Review of Accounting Studies, Springer, vol. 28(2), pages 421-462, June.
  55. Wu, Yang-Che & Huang, Yi-Ting & Lin, Shih-Kuei & Chuang, Ming-Che, 2017. "Fair valuation of mortgage insurance under stochastic default and interest rates," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 433-447.
  56. Liu, Sheen & Shi, Jian & Wang, Junbo & Wu, Chunchi, 2009. "The determinants of corporate bond yields," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(1), pages 85-109, February.
  57. Chava, Sudheer & Jarrow, Robert, 2008. "Modeling loan commitments," Finance Research Letters, Elsevier, vol. 5(1), pages 11-20, March.
  58. Costantini, Mauro & Sousa, Ricardo M., 2022. "What uncertainty does to euro area sovereign bond markets: Flight to safety and flight to quality," Journal of International Money and Finance, Elsevier, vol. 122(C).
  59. John Y. Campbell & Glen B. Taksler, 2003. "Equity Volatility and Corporate Bond Yields," Journal of Finance, American Finance Association, vol. 58(6), pages 2321-2350, December.
  60. Longstaff, Francis A. & Mithal, Sanjay & Neis, Eric, 2004. "Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market, previously titled: "The Credit-Default Swap Market: Is Credit Protection Priced Correctly?&qu," University of California at Los Angeles, Anderson Graduate School of Management qt8gn7h03k, Anderson Graduate School of Management, UCLA.
  61. Xin Guo & Robert A. Jarrow & Yan Zeng, 2009. "Credit Risk Models with Incomplete Information," Mathematics of Operations Research, INFORMS, vol. 34(2), pages 320-332, May.
  62. Patel, Nimesh & Daglish, Toby, 2011. "Fixed come hell or high water? Selection and prepayment of fixed rate mortgages outside the US," Working Paper Series 19215, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
  63. Giuliano De Rossi, 2010. "Maximum Likelihood Estimation of the Cox–Ingersoll–Ross Model Using Particle Filters," Computational Economics, Springer;Society for Computational Economics, vol. 36(1), pages 1-16, June.
  64. Becchetti, Leonardo & Carpentieri, Andrea & Hasan, Iftekhar, 2009. "The determinants of option-adjusted delta credit spreads : a comparative analysis of the United States, the United Kingdom and the euro area," Research Discussion Papers 34/2009, Bank of Finland.
  65. Beber, Alessandro & Brandt, Michael & Luisi, Maurizio, 2013. "Eurozone Sovereign Yield Spreads and Diverging Economic Fundamentals," CEPR Discussion Papers 9538, C.E.P.R. Discussion Papers.
  66. Yan, Alice Xie & Shi, Jian & Wu, Chunchi, 2008. "Do macroeconomic variables matter for pricing default risk?," International Review of Economics & Finance, Elsevier, vol. 17(2), pages 279-291.
  67. SOLNIK, Bruno & COLLIN-DUFRESNE, Pierre, 2000. "On the term structure of default premia in the Swap and Libor markets," HEC Research Papers Series 704, HEC Paris.
  68. Gouriéroux, C. & Monfort, A. & Renne, J.P., 2014. "Pricing default events: Surprise, exogeneity and contagion," Journal of Econometrics, Elsevier, vol. 182(2), pages 397-411.
  69. Yalin Gündüz & Marliese Uhrig-Homburg, 2014. "Does modeling framework matter? A comparative study of structural and reduced-form models," Review of Derivatives Research, Springer, vol. 17(1), pages 39-78, April.
  70. Kucuk, Ugur N., 2010. "Non-default Component of Sovereign Emerging Market Yield Spreads and its Determinants: Evidence from Credit Default Swap Market," MPRA Paper 27428, University Library of Munich, Germany.
  71. Zhou, Chunsheng, 2001. "The term structure of credit spreads with jump risk," Journal of Banking & Finance, Elsevier, vol. 25(11), pages 2015-2040, November.
  72. Engelen, Peter-Jan & Kool, Clemens & Li, Ye, 2016. "A barrier options approach to modeling project failure: The case of hydrogen fuel infrastructure," Resource and Energy Economics, Elsevier, vol. 43(C), pages 33-56.
  73. Batten, Jonathan A. & Hogan, Warren P., 2003. "Time variation in the credit spreads on Australian Eurobonds," Pacific-Basin Finance Journal, Elsevier, vol. 11(1), pages 81-99, January.
  74. Colino, Jesús P. & Stute, Winfried, 2008. "Credit risk with semimartingales and risk-neutrality," DES - Working Papers. Statistics and Econometrics. WS ws085417, Universidad Carlos III de Madrid. Departamento de Estadística.
  75. Caporin, Massimiliano & Pelizzon, Loriana & Ravazzolo, Francesco & Rigobon, Roberto, 2018. "Measuring sovereign contagion in Europe," Journal of Financial Stability, Elsevier, vol. 34(C), pages 150-181.
  76. Christiansen, Charlotte, 2002. "Credit spreads and the term structure of interest rates," International Review of Financial Analysis, Elsevier, vol. 11(3), pages 279-295.
  77. Vink, Dennis, 2007. "An Empirical Analysis of Asset-Backed Securitization," MPRA Paper 10382, University Library of Munich, Germany, revised 25 Aug 2008.
  78. Liuren Wu & Frank Xiaoling Zhang, 2008. "A No-Arbitrage Analysis of Macroeconomic Determinants of the Credit Spread Term Structure," Management Science, INFORMS, vol. 54(6), pages 1160-1175, June.
  79. Leonardo Becchetti & Andrea Carpentieri & Iftekhar Hasan, 2012. "Option†Adjusted Delta Credit Spreads: a Cross†Country Analysis," European Financial Management, European Financial Management Association, vol. 18(2), pages 183-217, March.
  80. Chambet, Anthony & Gibson, Rajna, 2008. "Financial integration, economic instability and trade structure in emerging markets," Journal of International Money and Finance, Elsevier, vol. 27(4), pages 654-675, June.
  81. Shu-Ling Chiang & Ming-Shann Tsai, 2010. "Pricing a defaultable bond with a stochastic recovery rate," Quantitative Finance, Taylor & Francis Journals, vol. 10(1), pages 49-58.
  82. Jens H. E. Christensen, 2013. "A Regime-Switching Model of the Yield Curve at the Zero Bound," Working Paper Series 2013-34, Federal Reserve Bank of San Francisco.
  83. Robert R. Bliss, 2001. "Market discipline and subordinated debt: a review of some salient issues," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 25(Q I), pages 24-45.
  84. Feldhütter, Peter & Lando, David, 2008. "Decomposing swap spreads," Journal of Financial Economics, Elsevier, vol. 88(2), pages 375-405, May.
  85. Malliaropulos, Dimitris & Migiakis, Petros, 2018. "The re-pricing of sovereign risks following the Global Financial Crisis," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 39-56.
  86. Linda Allen & Anthony Saunders, 2004. "Incorporating Systemic Influences Into Risk Measurements: A Survey of the Literature," Journal of Financial Services Research, Springer;Western Finance Association, vol. 26(2), pages 161-191, October.
  87. Cremers, Martijn & Driessen, Joost & Maenhout, Pascal & Weinbaum, David, 2008. "Individual stock-option prices and credit spreads," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2706-2715, December.
  88. Peter Christoffersen & Steven Heston & Kris Jacobs, 2009. "The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well," Management Science, INFORMS, vol. 55(12), pages 1914-1932, December.
  89. Peter Christoffersen & Kris Jacobs & Xisong Jin & Hugues Langlois, 2013. "Dynamic Diversification in Corporate Credit," CREATES Research Papers 2013-46, Department of Economics and Business Economics, Aarhus University.
  90. Enrico Laghi & Michele Di Marcantonio & Eugenio D'Amico, 2014. "Estimating credit default swap spreads using accounting data, market quotes and credit ratings: the European Banks Case," FINANCIAL REPORTING, FrancoAngeli Editore, vol. 2014(2-3-4), pages 59-81.
  91. Luca Vincenzo Ballestra & Graziella Pacelli, 2009. "A Numerical Method to Price Defaultable Bonds Based on the Madan and Unal Credit Risk Model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 16(1), pages 17-36.
  92. Kim, Jong-Min & Kim, Dong H. & Jung, Hojin, 2021. "Applications of machine learning for corporate bond yield spread forecasting," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  93. Brown, Alessio J. G. & Žarnić, Žiga, 2003. "Explaining the increased German credit spread: The role of supply factors," Kiel Advanced Studies Working Papers 412, Kiel Institute for the World Economy (IfW Kiel).
  94. Pompella, Maurizio & Dicanio, Antonio, 2017. "Ratings based Inference and Credit Risk: Detecting likely-to-fail Banks with the PC-Mahalanobis Method," Economic Modelling, Elsevier, vol. 67(C), pages 34-44.
  95. Ericsson, Jan & Reneby, Joel, 2003. "Valuing Corporate Liabilities," SIFR Research Report Series 15, Institute for Financial Research.
  96. Christoffersen, Peter & Jacobs, Kris & Ornthanalai, Chayawat & Wang, Yintian, 2008. "Option valuation with long-run and short-run volatility components," Journal of Financial Economics, Elsevier, vol. 90(3), pages 272-297, December.
  97. Samir Kadiric & Arthur Korus, 2019. "The effects of Brexit on credit spreads: Evidence from UK and Eurozone corporate bond markets," International Economics and Economic Policy, Springer, vol. 16(1), pages 65-102, March.
  98. Bethke, Sebastian & Gehde-Trapp, Monika & Kempf, Alexander, 2015. "Investor sentiment, flight-to-quality, and corporate bond comovement," CFR Working Papers 13-06 [rev.3], University of Cologne, Centre for Financial Research (CFR).
  99. Chen, Guojin & Liu, Yanzhen & Zhang, Yu, 2021. "Systemic risk measures and distribution forecasting of macroeconomic shocks," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 178-196.
  100. Bruche, Max, 2005. "Estimating structural bond pricing models via simulated maximum likelihood," LSE Research Online Documents on Economics 24647, London School of Economics and Political Science, LSE Library.
  101. Francis A. Longstaff & Sanjay Mithal & Eric Neis, 2005. "Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market," Journal of Finance, American Finance Association, vol. 60(5), pages 2213-2253, October.
  102. Giesecke, Kay & Longstaff, Francis A. & Schaefer, Stephen & Strebulaev, Ilya, 2011. "Corporate bond default risk: A 150-year perspective," Journal of Financial Economics, Elsevier, vol. 102(2), pages 233-250.
  103. Zorana Grbac & Laura Meneghello & Wolfgang J. Runggaldier, 2015. "Derivative pricing for a multi-curve extension of the Gaussian, exponentially quadratic short rate model," Papers 1512.03259, arXiv.org, revised Jun 2016.
  104. Claudio Fontana & Juan Miguel A. Montes, 2012. "A unified approach to pricing and risk management of equity and credit risk," Papers 1212.5395, arXiv.org, revised May 2013.
  105. Jin-Chuan Duan & Weimin Miao, 2016. "Default Correlations and Large-Portfolio Credit Analysis," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(4), pages 536-546, October.
  106. Nikolas Rokkanen, 2009. "Lemmings in the bond market? An empirical analysis of the term structure of credit spreads," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 23(1), pages 31-57, March.
  107. Sanjiv Ranjan Das & Rangarajan K. Sundaram, 2000. "A Discrete-Time Approach to Arbitrage-Free Pricing of Credit Derivatives," Management Science, INFORMS, vol. 46(1), pages 46-62, January.
  108. Longstaff, Francis A., 2001. "The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices," University of California at Los Angeles, Anderson Graduate School of Management qt7dc0t95b, Anderson Graduate School of Management, UCLA.
  109. Andreas D. Christopoulos & Robert A. Jarrow & Yildiray Yildirim, 2008. "Commercial Mortgage‐Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 36(3), pages 441-498, September.
  110. Hisashi Nakamura, 2007. "A Continuous-Time Analysis of Optimal Debt Contracts: Theory and Applications," 2007 Meeting Papers 230, Society for Economic Dynamics.
  111. Becchetti, Leonardo & Carpentieri, Andrea & Hasan, Iftekhar, 2009. "The determinants of option-adjusted delta credit spreads: a comparative analysis of the United States, the United Kingdom and the euro area," Bank of Finland Research Discussion Papers 34/2009, Bank of Finland.
  112. Elton, Edwin J. & Gruber, Martin J. & Agrawal, Deepak & Mann, Christopher, 2004. "Factors affecting the valuation of corporate bonds," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2747-2767, November.
  113. Michael Adler & Jeong Song, 2010. "The behavior of emerging market sovereigns' credit default swap premiums and bond yield spreads," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(1), pages 31-58.
  114. Díaz, Antonio & Groba, Jonatan & Serrano, Pedro, 2013. "What drives corporate default risk premia? Evidence from the CDS market," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 529-563.
  115. Abel Elizalde, 2006. "Credit Risk Models I: Default Correlation in Intensity Models," Working Papers wp2006_0605, CEMFI.
  116. Chiarella, Carl & Hsiao, Chih-Ying & Tô, Thuy-Duong, 2016. "Stochastic correlation and risk premia in term structure models," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 59-78.
  117. Kim, Jong-Min & Kim, Dong H. & Jung, Hojin, 2020. "Modeling non-normal corporate bond yield spreads by copula," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
  118. Galema, Rients & Lugo, Stefano, 2021. "When central banks buy corporate bonds: Target selection and impact of the European Corporate Sector Purchase Program," Journal of Financial Stability, Elsevier, vol. 54(C).
  119. Samir Kadiric & Arthur Korus, 2018. "Effects of Brexit on Corporate Yield Spreads: Evidence from UK and Eurozone Corporate Bond Markets," EIIW Discussion paper disbei251, Universitätsbibliothek Wuppertal, University Library.
  120. Ombretta Terazzan, 2006. "Estimating the Term Structure of Credit Spreads on Euro‐denominated Corporate Bonds," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 35(3), pages 355-375, November.
  121. Yoichi Ueno & Naohiko Baba, 2006. "Default Intensity and Expected Recovery of Japanese Banks and "Government": New Evidence from the CDS Market," Bank of Japan Working Paper Series 06-E-4, Bank of Japan.
  122. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
  123. Lekkos, Ilias, 2007. "Modelling multiple term structures of defaultable bonds with common and idiosyncratic state variables," Journal of Empirical Finance, Elsevier, vol. 14(5), pages 783-817, December.
  124. Seppo Pynnonen & Warren Hogan & Jonathan Batten, 2006. "Modelling credit spreads on yen Eurobonds within an equilibrium correction framework," Applied Financial Economics, Taylor & Francis Journals, vol. 16(8), pages 583-606.
  125. Tarik Bazgour & Federico Platania, 2022. "A defaultable bond model with cyclical fluctuations in the spread process," Annals of Operations Research, Springer, vol. 312(2), pages 647-672, May.
  126. Massoud Heidari & Liuren Wu, 2002. "Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rates and Interest Rate Derivatives," Finance 0207010, University Library of Munich, Germany, revised 10 Sep 2002.
  127. Hibiki Ichiue & Yoichi Ueno, 2007. "Equilibrium Interest Rate and the Yield Curve in a Low Interest Rate Environment," Bank of Japan Working Paper Series 07-E-18, Bank of Japan.
  128. Frank de Jong & Joost Driessen & Antoon Pelsser, 2004. "On the Information in the Interest Rate Term Structure and Option Prices," Review of Derivatives Research, Springer, vol. 7(2), pages 99-127, August.
  129. Pascal François & Sophie Pardo, 2015. "Prepayment risk on callable bonds: theory and test," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 38(2), pages 147-176, October.
  130. Brock Johnson & Jonathan Batten, 2003. "Forecasting Credit Spread Volatility: Evidence from the Japanese Eurobond Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 10(4), pages 335-357, December.
  131. Jaesun Noh, 2004. "Estimation of Credit and Default Spreads: An Application to CDO Valuation," Econometric Society 2004 Far Eastern Meetings 444, Econometric Society.
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