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Citations for "On the pricing of corporate debt: the risk structure of interest rates"

by Merton, Robert C.

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  1. Bongaerts, Dion & Charlier, Erwin, 2009. "Private equity and regulatory capital," Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1211-1220, July.
  2. Groen-Xu, Moqi & Massa, Massimo & Mataigne, Virginie & Vermaelen, Theo, 2017. "Choices in Equity Finance A Global Perspective," CEPR Discussion Papers 11987, C.E.P.R. Discussion Papers.
  3. Drew Creal & Bernd Schwaab & Siem Jan Koopman & Andr� Lucas, 2014. "Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk," The Review of Economics and Statistics, MIT Press, vol. 96(5), pages 898-915, December.
  4. Kanagaretnam, Kiridaran & Zhang, Gaiyan & Zhang, Sanjian Bill, 2016. "CDS pricing and accounting disclosures: Evidence from U.S. bank holding corporations around the recent financial crisis," Journal of Financial Stability, Elsevier, vol. 22(C), pages 33-44.
  5. Packham, Natalie & Kalkbrener, Michael & Overbeck, Ludger, 2014. "Default probabilities and default correlations under stress," Frankfurt School - Working Paper Series 211, Frankfurt School of Finance and Management.
  6. 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.
  7. Anthonisz, Sean A., 2012. "Asset pricing with partial-moments," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2122-2135.
  8. Jed DeVaro & Jin-Hyuk Kim & Nick Vikander, 2014. "Pay-for-(Persistent)-Luck: CEO Bonuses Under Relational and Formal Contracting," Discussion Papers 14-13, University of Copenhagen. Department of Economics.
  9. Nodari, Gabriela, 2014. "Financial regulation policy uncertainty and credit spreads in the US," Journal of Macroeconomics, Elsevier, vol. 41(C), pages 122-132.
  10. Chen, Chang-Chih & Shyu, So-De & Yang, Chih-Yuan, 2011. "Counterparty effects on capital structure decision in incomplete market," Economic Modelling, Elsevier, vol. 28(5), pages 2181-2189, September.
  11. Iftekhar Hasan & Liuling Liu & Gaiyan Zhang, 2016. "The Determinants of Global Bank Credit-Default-Swap Spreads," Journal of Financial Services Research, Springer;Western Finance Association, vol. 50(3), pages 275-309, December.
  12. Kalimipalli, Madhu & Nayak, Subhankar & Perez, M. Fabricio, 2013. "Dynamic effects of idiosyncratic volatility and liquidity on corporate bond spreads," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2969-2990.
  13. Oliveira, Luís & Curto, José Dias & Nunes, João Pedro, 2012. "The determinants of sovereign credit spread changes in the Euro-zone," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(2), pages 278-304.
  14. Park, Sangkyun & Peristiani, Stavros, 2007. "Are bank shareholders enemies of regulators or a potential source of market discipline?," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2493-2515, August.
  15. Klaus Düllmann & Nancy Masschelein, 2006. "The impact of sector concentration in loan portfolios on economic capital," Financial Stability Review, National Bank of Belgium, vol. 4(1), pages 175-187, June.
  16. Brown, Jeffrey R. & Pennacchi, George G., 2016. "Discounting pension liabilities: funding versus value," Journal of Pension Economics and Finance, Cambridge University Press, vol. 15(03), pages 254-284, July.
  17. Robert A. Jarrow, 1999. "In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World," Journal of Economic Perspectives, American Economic Association, vol. 13(4), pages 229-248, Fall.
  18. Eduardo Borensztein & Ugo Panizza, 2009. "The Costs of Sovereign Default," IMF Staff Papers, Palgrave Macmillan, vol. 56(4), pages 683-741, November.
  19. repec:eee:jfinec:v:124:y:2017:i:3:p:486-502 is not listed on IDEAS
  20. Koopman, Siem Jan & Kräussl, Roman & Lucas, André & Monteiro, André B., 2009. "Credit cycles and macro fundamentals," Journal of Empirical Finance, Elsevier, vol. 16(1), pages 42-54, January.
  21. Yang, Bill Huajian, 2017. "Forward Ordinal Probability Models for Point-in-Time Probability of Default Term Structure," MPRA Paper 79934, University Library of Munich, Germany.
  22. Hsu, Po-Hsuan & Lee, Hsiao-Hui & Liu, Alfred Zhu & Zhang, Zhipeng, 2015. "Corporate innovation, default risk, and bond pricing," Journal of Corporate Finance, Elsevier, vol. 35(C), pages 329-344.
  23. Carlson Mark A & King Thomas & Lewis Kurt, 2011. "Distress in the Financial Sector and Economic Activity," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 11(1), pages 1-31, June.
  24. 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.
  25. Gady Jacoby & Chuan Liao & Jonathan A. Batten, 2007. "A Pure Test for the Elasticity of Yield Spreads," The Institute for International Integration Studies Discussion Paper Series iiisdp195, IIIS.
  26. Steeley, James M., 2006. "Volatility transmission between stock and bond markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(1), pages 71-86, February.
  27. Gann, Philipp, 2009. "Liquidität, Risikoeinstellung des Kapitalmarktes und Konjunkturerwartung als Preisdeterminanten von Collateralized Debt Obligations (CDOs) - Eine simulationsgestützte Analyse," Discussion Papers in Business Administration 10582, University of Munich, Munich School of Management.
  28. Rodrigo Alfaro A. & Natalia Gallardo S. & Camilo Vio G., 2010. "Análisis de Derechos Contingentes: Aplicación a Casas Comerciales," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 13(1), pages 73-82, April.
  29. Demerjian, Peter R., 2011. "Accounting standards and debt covenants: Has the “balance sheet approach” led to a decline in the use of balance sheet covenants?," Journal of Accounting and Economics, Elsevier, vol. 52(2), pages 178-202.
  30. Jia-Wen Gu & Bo Jiang & Wai-Ki Ching & Harry Zheng, 2013. "On Modeling Economic Default Time: A Reduced-Form Model Approach," Papers 1306.6402, arXiv.org.
  31. Jokipii, Terhi & Monnin, Pierre, 2013. "The impact of banking sector stability on the real economy," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 1-16.
  32. Andrey Krishenik & Andreea Minca & Johannes Wissel, 2015. "When do creditors with heterogeneous beliefs agree to run?," Finance and Stochastics, Springer, vol. 19(2), pages 233-259, April.
  33. Altunbas, Yener & Gambacorta, Leonardo & Marqués-Ibáñez, David, 2010. "Does monetary policy affect bank risk-taking?," Working Paper Series 1166, European Central Bank.
  34. Simon Hall, 2001. "Financial accelerator effects in UK business cycles," Bank of England working papers 150, Bank of England.
  35. Tao Shen, 2017. "Credit spreads and investment opportunities," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 117-152, January.
  36. Hans Hvide & Tore Leite, 2010. "Optimal debt contracts under costly enforcement," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 44(1), pages 149-165, July.
  37. Nektarios Aslanidis & Andrea Cipollini, 2007. "Leading indicator properties of the US corporate spreads," Money Macro and Finance (MMF) Research Group Conference 2006 115, Money Macro and Finance Research Group.
  38. Leandro Medina, 2012. "Spring Forward or Fall Back? The Post-Crisis Recovery of Firms," IMF Working Papers 12/292, International Monetary Fund.
  39. ilya, gikhman, 2006. "Fixed-income instrument pricing," MPRA Paper 1449, University Library of Munich, Germany.
  40. Beck, Günter Wilfried & Kotz, Hans-Helmut, 2016. "Euro area shadow banking activities in a low-interest-rate environment: A flow-of-funds perspective," SAFE White Paper Series 37, Goethe University Frankfurt, Research Center SAFE - Sustainable Architecture for Finance in Europe.
  41. André Lucas & Siem Jan Koopman, 2005. "Business and default cycles for credit risk," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 311-323.
  42. Jos\'e Manuel Corcuera & Arturo Valdivia, 2016. "CoCos under short-term uncertainty," Papers 1602.00094, arXiv.org.
  43. Yongwoong Lee & Ser-Huang Poon, 2013. "Markov Chain Monte Carlo with particle filtering," Chapters,in: Handbook of Research Methods and Applications in Empirical Finance, chapter 7, pages 169-194 Edward Elgar Publishing.
  44. Daniël Vullings, 2016. "Contingent convertible bonds with floating coupon payments: fixing the equilibrium problem," DNB Working Papers 517, Netherlands Central Bank, Research Department.
  45. Karmann, Alexander & Maltritz, Dominik, 2003. "Sovereign risk in a structural approach: Evaluating sovereign ability-to-pay and probability of default," Dresden Discussion Paper Series in Economics 07/03, Technische Universität Dresden, Faculty of Business and Economics, Department of Economics.
  46. Liebmann, Michael & Orlov, Alexei G. & Neumann, Dirk, 2016. "The tone of financial news and the perceptions of stock and CDS traders," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 159-175.
  47. Goto, Makoto & Suzuki, Teruyoshi, 2015. "Optimal default and liquidation with tangible assets and debt renegotiation," Review of Financial Economics, Elsevier, vol. 27(C), pages 16-27.
  48. Gordian Rättich & Kim Clark & Evi Hartmann, "undated". "Performance measurement and antecedents of early internationalizing firms: A systematic assessment," Working Papers 0031, College of Business, University of Texas at San Antonio.
  49. Carlos León & Clara Machado & Andrés Murcia, 2013. "Macro-prudential assessment of Colombian financial institutions’ systemic importance," Borradores de Economia 800, Banco de la Republica de Colombia.
  50. C, Loran & Eckbo, Espen & Lu, Ching-Chih, 2014. "Does Executive Compensation Reflect Default Risk?," UiS Working Papers in Economics and Finance 2014/11, University of Stavanger.
  51. Carole Bernard & Olivier Courtois & François Quittard-Pinon, 2005. "A Study of Mutual Insurance for Bank Deposits," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), vol. 30(2), pages 129-146, December.
  52. repec:bpj:strimo:v:34:y:2017:i:1-2:p:55-67:n:1 is not listed on IDEAS
  53. Suh, Sangwon, 2012. "Measuring systemic risk: A factor-augmented correlated default approach," Journal of Financial Intermediation, Elsevier, vol. 21(2), pages 341-358.
  54. Sara Maccaferri & Jessica Cariboni & Wim Schoutens, 2013. "Levy Processes and the Financial Crisis: Can We Design a More Effective Deposit Protection?," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 4(1), pages 5-28, January.
  55. Kanno, Masayasu, 2015. "Assessing systemic risk using interbank exposures in the global banking system," Journal of Financial Stability, Elsevier, vol. 20(C), pages 105-130.
  56. Cho-Hoi Hui & Tsz-Kin Chung & Chi-Fai Lo, 2013. "Using Interest Rate Derivative Prices to Estimate LIBOR-OIS Spread Dynamics and Systemic Funding Liquidity Shock Probabilities," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(2), pages 131-146, May.
  57. Izvorski, Ivailo, 1998. "A nonuniform grid method for solving PDE's," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1445-1452, August.
  58. Pierre Collin-Dufresne & Robert S. Goldstein & Jean Helwege, 2010. "Is Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs," NBER Working Papers 15733, National Bureau of Economic Research, Inc.
  59. Saqib Aziz & Michael Dowling & Jean-Jacques Lilti, 2016. "Bank Acquisitiveness and Financial Crisis Vulnerability," Post-Print halshs-01360952, HAL.
  60. Do, Viet & Vu, Tram, 2010. "The effects of reputation and relationships on lead banks' certification roles," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(5), pages 475-489, December.
  61. Liuren Wu & Frank X. 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.).
  62. Ekvall, Niklas, 1996. "A lattice approach for pricing of multivariate contingent claims," European Journal of Operational Research, Elsevier, vol. 91(2), pages 214-228, June.
  63. Bhanot, Karan & Mansi, Sattar A. & Wald, John K., 2010. "Takeover risk and the correlation between stocks and bonds," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 381-393, June.
  64. repec:ath:journl:tome:34:v:2:y:2014:i:34:p:99-109 is not listed on IDEAS
  65. Strebulaev, Ilya A. & Whited, Toni M., 2012. "Dynamic Models and Structural Estimation in Corporate Finance," Foundations and Trends(R) in Finance, now publishers, vol. 6(1–2), pages 1-163, November.
  66. Stefano Giglio, 2011. "Credit default swap spreads and systemic financial risk," Proceedings 1122, Federal Reserve Bank of Chicago.
  67. Luciano Campi & Umut Çetin, 2007. "Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling," Finance and Stochastics, Springer, vol. 11(4), pages 591-602, October.
  68. Landschoot, Astrid Van, 2008. "Determinants of yield spread dynamics: Euro versus US dollar corporate bonds," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2597-2605, December.
  69. Zvika Afik & Ohad Arad & Koresh Galil, 2012. "Using Merton model: an empirical assessment of alternatives," Working Papers 1202, Ben-Gurion University of the Negev, Department of Economics.
  70. Stiroh, Kevin J. & Rumble, Adrienne, 2006. "The dark side of diversification: The case of US financial holding companies," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2131-2161, August.
  71. Glaser, Markus & Müller, Sebastian, 2010. "Is the diversification discount caused by the book value bias of debt?," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2307-2317, October.
  72. Hui Chen & Jianjun Miao & Neng Wang, 2010. "Entrepreneurial Finance and Nondiversifiable Risk," Review of Financial Studies, Society for Financial Studies, vol. 23(12), pages 4348-4388, December.
  73. Kris Jacobs & Xiaofei Li, 2008. "Modeling the Dynamics of Credit Spreads with Stochastic Volatility," Management Science, INFORMS, vol. 54(6), pages 1176-1188, June.
  74. Claudio, Ferrarese, 2006. "A comparative analysis of correlation skew modeling techniques for CDO index tranches," MPRA Paper 1668, University Library of Munich, Germany.
  75. Fruhwirth, Manfred, 2001. "A pricing model for secondary market yield based floating rate notes subject to default risk," European Journal of Operational Research, Elsevier, vol. 135(2), pages 233-248, December.
  76. Lung-Fu Chang & Mao-Wei Hung, 2006. "Valuation of vulnerable American options with correlated credit risk," Review of Derivatives Research, Springer, vol. 9(2), pages 137-165, September.
  77. Lin, Hsuan-Chu & Chou, Ting-Kai & Wang, Wen-Gine, 2012. "Capital structure and executive compensation contract design: A theoretical and empirical analysis," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 209-224.
  78. Abbas-Turki Lokman A. & Bouselmi Aych I. & Mikou Mohammed A., 2014. "Toward a coherent Monte Carlo simulation of CVA," Monte Carlo Methods and Applications, De Gruyter, vol. 20(3), pages 195-216, September.
  79. R\'emy Chicheportiche & Jean-Philippe Bouchaud, 2013. "Some applications of first-passage ideas to finance," Papers 1306.3110, arXiv.org.
  80. Bhattacharya, Sudipto & Plank, Manfred & Strobl, Gunter & Zechner, Josef, 2002. "Bank capital regulation with random audits," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1301-1321, July.
  81. Hayette Gatfaoui, 2004. "Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's Credit Risk Valuation," Research Paper Series 123, Quantitative Finance Research Centre, University of Technology, Sydney.
  82. Dong Beom Choi, 2014. "Heterogeneity and Stability: Bolster the Strong, Not the Weak," Review of Financial Studies, Society for Financial Studies, vol. 27(6), pages 1830-1867.
  83. Christoph Siebenbrunner, 2017. "Clearing algorithms and network centrality," Papers 1706.00284, arXiv.org.
  84. Kanno, Masayasu, 2016. "The network structure and systemic risk in the global non-life insurance market," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 38-53.
  85. Neta Sher & Koresh Galil, 2015. "Predicting default more accurately: to proxy or not to proxy for default?," Working Papers 1505, Ben-Gurion University of the Negev, Department of Economics.
  86. Ansgar Belke & Christian Gokus, 2011. "Volatility Patterns of CDS, Bond and Stock Markets before and during the Financial Crisis: Evidence from Major Financial Institutions," Discussion Papers of DIW Berlin 1107, DIW Berlin, German Institute for Economic Research.
  87. Karim Parra, 2010. "Factores determinantes del margen entre la deuda corporativa y la deuda pública en Colombia," REVISTA DE ECONOMÍA DEL ROSARIO, UNIVERSIDAD DEL ROSARIO, November.
  88. Pierpaolo Grippa & Lucyna Gornicka, 2016. "Measuring Concentration Risk - A Partial Portfolio Approach," IMF Working Papers 16/158, International Monetary Fund.
  89. Güntay, Levent & Hackbarth, Dirk, 2010. "Corporate bond credit spreads and forecast dispersion," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2328-2345, October.
  90. Óscar Arce & Sergio Mayordomo, 2014. "Short-sale constraints and financial stability: Evidence from the Spanish market," Working Papers 1410, Banco de España;Working Papers Homepage.
  91. Marcelo Yoshio Takami & Benjamin Miranda Tabak, 2006. "Avaliação Do Risco Sistêmico Do Setor Bancário Brasileiro," Anais do XXXIV Encontro Nacional de Economia [Proceedings of the 34th Brazilian Economics Meeting] 96, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  92. Elisa Luciano & Wim Schoutens, 2006. "A multivariate jump-driven financial asset model," Quantitative Finance, Taylor & Francis Journals, vol. 6(5), pages 385-402.
  93. Hayette Gatfaoui, 2003. "How Does Systematic Risk Impact Stocks ? A Study On the French Financial Market," Risk and Insurance 0308004, EconWPA.
  94. Wang, Fan, 2007. "Risk-Based Pricing of High Loan-To-Value Mortgage," MPRA Paper 4788, University Library of Munich, Germany.
  95. Maltritz, Dominik, 2010. "A compound option approach to model the interrelation between banking crises and country defaults: The case of Hungary 2008," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 3025-3036, December.
  96. Shinichi Nishioka & Naohiko Baba, 2004. "Credit Risk Taking by Japanese Investors: Is Skewness Risk Priced in Japanese Corporate Bond Market?," Bank of Japan Working Paper Series 04-E-7, Bank of Japan.
  97. Dalla Valle, Luciana & De Giuli, Maria Elena & Tarantola, Claudia & Manelli, Claudio, 2016. "Default probability estimation via pair copula constructions," European Journal of Operational Research, Elsevier, vol. 249(1), pages 298-311.
  98. repec:rej:journl:v:20:y:2017:i:63:p:157-186 is not listed on IDEAS
  99. Giordani, Paolo & Jacobson, Tor & Schedvin, Erik von & Villani, Mattias, 2014. "Taking the Twists into Account: Predicting Firm Bankruptcy Risk with Splines of Financial Ratios," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(04), pages 1071-1099, August.
  100. McAndrew, Clare & Thompson, Rex, 2007. "The collateral value of fine art," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 589-607, March.
  101. Motokazu Ishizaka & Koichiro Takaoka, 2003. "On the Pricing of Defaultable Bonds Using the Framework of Barrier Options," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 10(2), pages 151-162, September.
  102. Thaddeus Neururer & George Papadakis & Edward J. Riedl, 2016. "Tests of investor learning models using earnings innovations and implied volatilities," Review of Accounting Studies, Springer, vol. 21(2), pages 400-437, June.
  103. Yener Altunbas & Leonardo Gambacorta & David Marques-Ibanez, 2014. "Does Monetary Policy Affect Bank Risk?," International Journal of Central Banking, International Journal of Central Banking, vol. 10(1), pages 95-136, March.
  104. Charles Goodhart & Miguel Segoviano, 2009. "Banking Stability Measures," FMG Discussion Papers dp627, Financial Markets Group.
  105. Jennie Bai & Pierre Collin-Dufresne & Robert S. Goldstein & Jean Helwege, 2012. "On bounding credit event risk premia," Staff Reports 577, Federal Reserve Bank of New York.
  106. Scholes, Myron S, 1998. "Derivatives in a Dynamic Environment," American Economic Review, American Economic Association, vol. 88(3), pages 350-370, June.
  107. Bernd Schwaab & Siem Jan Koopman & André Lucas, 2015. "Global Credit Risk: World, Country and Industry Factors," Tinbergen Institute Discussion Papers 15-029/III/DSF87, Tinbergen Institute.
  108. Ruey-Ching Hwang & Jhao-Siang Siao & Huimin Chung & C. Chu, 2011. "Assessing bankruptcy prediction models via information content of technical inefficiency," Journal of Productivity Analysis, Springer, vol. 36(3), pages 263-273, December.
  109. Yener Altunbas & Mahir Binici & Leonardo Gambacorta, 2017. "Macroprudential policy and bank risk," BIS Working Papers 646, Bank for International Settlements.
  110. Lindset Snorre, 2008. "Risk-Based Pre-Funding of Guaranty Funds in Life Insurance," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 2(2), pages 1-10, March.
  111. Qi, Min & Zhao, Xinlei, 2011. "Comparison of modeling methods for Loss Given Default," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 2842-2855, November.
  112. Graff, Richard A. & Kairys, Jr. Joseph P., 2005. "Property Rights, Risk and Leverage," Working Papers in Economics 183, University of Gothenburg, Department of Economics.
  113. 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.
  114. Kao, Lie-Jane, 2015. "A portfolio-invariant capital allocation scheme penalizing concentration risk," Economic Modelling, Elsevier, vol. 51(C), pages 560-570.
  115. Kijima, Masaaki & Motomiya, Shin-ichi & Suzuki, Yoichi, 2010. "Pricing of CDOs based on the multivariate Wang transform," Journal of Economic Dynamics and Control, Elsevier, vol. 34(11), pages 2245-2258, November.
  116. Robin Greenwood & Samuel G. Hanson, 2011. "Issuer Quality and the Credit Cycle," NBER Working Papers 17197, National Bureau of Economic Research, Inc.
  117. Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, March.
  118. Dror Parnes, 2011. "Developments in corporate creditworthiness around ownership events," International Journal of Managerial Finance, Emerald Group Publishing, vol. 7(4), pages 377-396, September.
  119. Hoechle, Daniel & Schmid, Markus & Walter, Ingo & Yermack, David, 2012. "How much of the diversification discount can be explained by poor corporate governance?," Journal of Financial Economics, Elsevier, vol. 103(1), pages 41-60.
  120. Klaus Duellmann & Jonathan Küll & Michael Kunisch, 2010. "Estimating asset correlations from stock prices or default rates - which method is superior?," Post-Print hal-00736734, HAL.
  121. Gianluca Oderda & Michel M. Dacorogna & Tobias Jung, 2003. "Credit Risk Models - Do They Deliver Their Promises? A Quantitative Assessment," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 32(2), pages 177-195, 07.
  122. Reisel, Natalia, 2014. "On the value of restrictive covenants: Empirical investigation of public bond issues," Journal of Corporate Finance, Elsevier, vol. 27(C), pages 251-268.
  123. Mateti, Ravi S. & Hegde, Shantaram P. & Puri, Tribhuvan, 2013. "Pricing securities with multiple risks: A case of exchangeable debt," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 1018-1028.
  124. Almer, Thomas & Heidorn, Thomas & Schmaltz, Christian, 2008. "The dynamics of short- and long-term CDS-spreads of banks," Frankfurt School - Working Paper Series 95, Frankfurt School of Finance and Management.
  125. Vink, Dennis, 2007. "An Empirical Analysis of Asset-Backed Securitization," MPRA Paper 10382, University Library of Munich, Germany, revised 25 Aug 2008.
  126. Rodrigo Alfaro A. & David Pacheco L. & Andrés Sagner T, 2011. "Dinámica de la Tasa de Incumplimiento de Créditos de Consumo en Cuotas," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 14(2), pages 119-124, August.
  127. Michael Robson, 2015. "Default Risk Among Australian Listed Corporations," RBA Bulletin, Reserve Bank of Australia, pages 47-54, September.
  128. Robert Inklaar & J. Christina Wang, 2013. "Real Output of Bank Services: What Counts is What Banks Do, Not What They Own," Economica, London School of Economics and Political Science, vol. 80(317), pages 96-117, 01.
  129. Hyun Song Shin, 2005. "Financial System Liquidity, Asset prices and Monetary Policy," RBA Annual Conference Volume,in: Christopher Kent & David Norman (ed.), The Changing Nature of the Business Cycle Reserve Bank of Australia.
  130. Alain Monfort & Jean-Paul Renne, 2013. "Default, Liquidity, and Crises: an Econometric Framework," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 11(2), pages 221-262, March.
  131. 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.
  132. Wolfgang Drobetz & Matthias C. Grüninger & Claudia B. Wöhle, 2006. "Warum begeben Unternehmen Wandelanleihen?," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 142(III), pages 331-365, September.
  133. Cho‐Hoi Hui & Hans Genberg & Tsz‐Kin Chung, 2011. "Funding liquidity risk and deviations from interest‐rate parity during the financial crisis of 2007–2009," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 16(4), pages 307-323, October.
  134. Kapadia, Nishad, 2011. "Tracking down distress risk," Journal of Financial Economics, Elsevier, vol. 102(1), pages 167-182, October.
  135. Chang, Sean Tat & Ross, Donald, 2016. "Debt covenants and credit spread valuation: The special case of Chinese global bonds," Global Finance Journal, Elsevier, vol. 30(C), pages 27-44.
  136. Jan Ericsson & Joel Reneby, 1998. "A framework for valuing corporate securities," Applied Mathematical Finance, Taylor & Francis Journals, vol. 5(3-4), pages 143-163.
  137. J. Baixauli & Susana Alvarez, 2012. "Implied Severity Density Estimation: An Extended Semiparametric Method to Compute Credit Value at Risk," Computational Economics, Springer;Society for Computational Economics, vol. 40(2), pages 115-129, August.
  138. Gryglewicz, Sebastian, 2011. "A theory of corporate financial decisions with liquidity and solvency concerns," Journal of Financial Economics, Elsevier, vol. 99(2), pages 365-384, February.
  139. Lassaâd Mbarek & Dorra Mezzez Hmaied, 2012. "Stock Market Assessment of Bank Risk: Evidence from the Maghreb Region," Working Papers 679, Economic Research Forum, revised 2012.
  140. Joachim Sicking & Thomas Guhr & Rudi Sch\"afer, 2016. "Concurrent Credit Portfolio Losses," Papers 1604.06917, arXiv.org, revised Jan 2017.
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  1678. Marco Realdon, "undated". "About Debt and the Option to Extend Debt Maturity," Discussion Papers 03/20, Department of Economics, University of York.
  1679. Michael G. Papaioannou, 2006. "A Primer for Risk Measurement of Bonded Debt from the Perspective of a Sovereign Debt Manager," IMF Working Papers 06/195, International Monetary Fund.
  1680. repec:fgv:epgrbe:v:68:n:3:a:3 is not listed on IDEAS
  1681. 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.
  1682. Vilsmeier, Johannes, 2014. "Updating the option implied probability of default methodology," Discussion Papers 43/2014, Deutsche Bundesbank, Research Centre.
  1683. Marco Sorge, 2004. "The nature of credit risk in project finance," BIS Quarterly Review, Bank for International Settlements, December.
  1684. Ehnts, Dirk & Carrión Álvarez, Miguel, 2013. "The theory of reflexivity: A non-stochastic randomness theory for business schools only?," IPE Working Papers 28/2013, Berlin School of Economics and Law, Institute for International Political Economy (IPE).
  1685. Hartmann, Philipp & Straetmans, Stefan & de Vries, Casper, 2005. "Banking system stability: a cross-Atlantic perspective," Working Paper Series 527, European Central Bank.
  1686. Lotz, Christopher & Schlogl, Lutz, 2000. "Default risk in a market model," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 301-327, January.
  1687. Paul H. Kupiec, 2002. "Calibrating Your Intuition; Capital Allocation for Market and Credit Risk," IMF Working Papers 02/99, International Monetary Fund.
  1688. Erkens, David H. & Hung, Mingyi & Matos, Pedro, 2012. "Corporate governance in the 2007–2008 financial crisis: Evidence from financial institutions worldwide," Journal of Corporate Finance, Elsevier, vol. 18(2), pages 389-411.
  1689. Xiaoli Wang & Michael S. Long & Ren Raw Chen & Jingfeng Zhang, 2016. "Economic growth potential creating a real put and the resulting valuation of the firm," Review of Quantitative Finance and Accounting, Springer, vol. 47(3), pages 453-474, October.
  1690. Li, Ming-Yuan Leon & Miu, Peter, 2010. "A hybrid bankruptcy prediction model with dynamic loadings on accounting-ratio-based and market-based information: A binary quantile regression approach," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 818-833, September.
  1691. Chadwick, Meltem, 2010. "Modelling Time-varying Bond Risk Premia for Utilities Industry," MPRA Paper 75840, University Library of Munich, Germany.
  1692. José Da Fonseca & Peiming Wang, 2016. "A joint analysis of market indexes in credit default swap, volatility and stock markets," Applied Economics, Taylor & Francis Journals, vol. 48(19), pages 1767-1784, April.
  1693. Bai, Xuelian & Hu, Nan & Liu, Ling & Zhu, Lu, 2017. "Credit derivatives and stock return synchronicity," Journal of Financial Stability, Elsevier, vol. 28(C), pages 79-90.
  1694. Scheicher, Martin & Raunig, Burkhard, 2008. "A value at risk analysis of cedit default swaps," Working Paper Series 968, European Central Bank.
  1695. Wilson Sy, 2007. "A Causal Framework for Credit Default Theory," Research Paper Series 204, Quantitative Finance Research Centre, University of Technology, Sydney.
  1696. Fred E. Benth & Geir Dahl & Carlo Mannino, 2010. "Computing optimal recovery policies for financial markets," DIS Technical Reports 2010-20, Department of Computer, Control and Management Engineering, Universita' degli Studi di Roma "La Sapienza".
  1697. Roberts, Gordon & Yuan, Lianzeng (Edward), 2010. "Does institutional ownership affect the cost of bank borrowing?," Journal of Economics and Business, Elsevier, vol. 62(6), pages 604-626, November.
  1698. Gençay, Ramazan & Signori, Daniele & Xue, Yi & Yu, Xiao & Zhang, Keyi, 2015. "Economic links and credit spreads," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 157-169.
  1699. Koerniadi, Hardjo & Krishnamurti, Chandrasekhar & Tourani-Rad, Alireza, 2015. "Cross-border mergers and acquisitions and default risk," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 336-348.
  1700. S. G. Kou & Hui Wang, 2004. "Option Pricing Under a Double Exponential Jump Diffusion Model," Management Science, INFORMS, vol. 50(9), pages 1178-1192, September.
  1701. Fernando MIERZEJEWSKI, 2008. "The Economic Capital Of Opaque Financial Institutions," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 3(3(5)_Fall), pages 232-245.
  1702. Fulop, Andras, 2006. "Feedback Effects of Rating Downgrades," ESSEC Working Papers DR 06016, ESSEC Research Center, ESSEC Business School.
  1703. James Kau & Donald Keenan & Alexey Smurov, 2011. "Leverage and Mortgage Foreclosures," The Journal of Real Estate Finance and Economics, Springer, vol. 42(4), pages 393-415, May.
  1704. Masaaki Kijima & Chi Chung Siu, 2014. "Credit-Equity Modeling Under A Latent Lévy Firm Process," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(03), pages 1-41.
  1705. Andre O Santos & Jorge A Chan-Lau, 2006. "Currency Mismatches and Corporate Default Risk; Modeling, Measurement, and Surveillance Applications," IMF Working Papers 06/269, International Monetary Fund.
  1706. repec:dau:papers:123456789/11721 is not listed on IDEAS
  1707. Batten, Jonathan & Hogan, Warren & In, Francis, 2002. "Valuing Credit Spreads on Quality Australian Dollar Eurobonds in a Multivariate EGARCH Framework," Australian Economic Papers, Wiley Blackwell, vol. 41(1), pages 115-128, March.
  1708. Laeven, Luc, 2002. "Pricing of deposit insurance," Policy Research Working Paper Series 2871, The World Bank.
  1709. Felipe Zurita L., 2008. "Bankruptcy Prediction for Chilean Companies," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 11(1), pages 93-116, April.
  1710. Thomas, Lyn C., 2000. "A survey of credit and behavioural scoring: forecasting financial risk of lending to consumers," International Journal of Forecasting, Elsevier, vol. 16(2), pages 149-172.
  1711. Scott D. Aguais & Anthony M. Santomero, 1997. "Incorporating New Fixed Income Approaches into Commercial Loan Valuation," Center for Financial Institutions Working Papers 98-06, Wharton School Center for Financial Institutions, University of Pennsylvania.
  1712. Mierzejewski, Fernando, 2008. "The Allocation of Economic Capital in Opaque Financial Conglomerates," MPRA Paper 9432, University Library of Munich, Germany.
  1713. McDonald, Robert L., 2013. "Contingent capital with a dual price trigger," Journal of Financial Stability, Elsevier, vol. 9(2), pages 230-241.
  1714. Schaefer, Stephen M. & Strebulaev, Ilya A., 2008. "Structural models of credit risk are useful: Evidence from hedge ratios on corporate bonds," Journal of Financial Economics, Elsevier, vol. 90(1), pages 1-19, October.
  1715. Damiano Brigo & Marco Tarenghi, 2009. "Credit Default Swap Calibration and Equity Swap Valuation under Counterparty Risk with a Tractable Structural Model," Papers 0912.3028, arXiv.org.
  1716. Egami, Masahiko & Young, Virginia R., 2008. "Indifference prices of structured catastrophe (CAT) bonds," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 771-778, April.
  1717. Mora, Nada, 2015. "Creditor recovery: The macroeconomic dependence of industry equilibrium," Journal of Financial Stability, Elsevier, vol. 18(C), pages 172-186.
  1718. 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.
  1719. repec:zbw:rwirep:0243 is not listed on IDEAS
  1720. Elisabeth Kemajou & Salah-Eldin Mohammed & Antoine Tambue, 2012. "A Stochastic Delay Model For Pricing Debt And Loan Guarantees: Theoretical Results," Papers 1210.0570, arXiv.org, revised Oct 2012.
  1721. Michael Halling & Evelyn Hayden, 2008. "Bank failure prediction: a two-step survival time approach," IFC Bulletins chapters,in: Bank for International Settlements (ed.), The IFC's contribution to the 56th ISI Session, Lisbon, August 2007, volume 28, pages 48-73 Bank for International Settlements.
  1722. Tomasz Bielecki & Inwon Jang, 2006. "Portfolio optimization with a defaultable security," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(2), pages 113-127, June.
  1723. Giovanni Pepe, 2013. "Basel 2.5: potential benefits and unintended consequences," Questioni di Economia e Finanza (Occasional Papers) 159, Bank of Italy, Economic Research and International Relations Area.
  1724. Alexandru Monahov, 2015. "The Effects of Prudential Supervision on Bank Resiliency and Profits in a Multi-Agent Setting," GREDEG Working Papers 2015-24, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), University of Nice Sophia Antipolis.
  1725. Kato, Kensuke, 2016. "Long-range Ising model for credit portfolios with heterogeneous credit exposures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 1103-1119.
  1726. Itzhak Ben-David & John R. Graham & Campbell R. Harvey, 2007. "Managerial Overconfidence and Corporate Policies," NBER Working Papers 13711, National Bureau of Economic Research, Inc.
  1727. Völz, Manja & Wedow, Michael, 2011. "Market discipline and too-big-to-fail in the CDS market: Does banks' size reduce market discipline?," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 195-210, March.
  1728. International Monetary Fund, 2012. "Israel; Technical Note on Stress Test of the Banking, Insurance and Pension Sectors," IMF Staff Country Reports 12/88, International Monetary Fund.
  1729. Casasola, María José & Trujillo Ponce, Antonio & Cardone Riportella, Clara, 2008. "Credit risk mitigation and SMEs bank financing in Basel II : the case of the Loan Guarantee Associations," DEE - Working Papers. Business Economics. WB wb084011, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  1730. Theodore M. Barnhill & George Kopits, 2003. "Assessing Fiscal Sustainability Under Uncertainity," IMF Working Papers 03/79, International Monetary Fund.
  1731. Weiping Li & Tim Krehbiel, 2016. "An Improved Approach To Evaluate Default Probabilities And Default Correlations With Consistency," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(05), pages 01-29.
  1732. International Monetary Fund, 2013. "Republic of Poland; Technical Note on Stress Testing the Banking Sector," IMF Staff Country Reports 13/261, International Monetary Fund.
  1733. Wolfgang Dobetz & Matthias C. Grüninger, 2006. "Corporate cash holdings: Evidence from a different institutional setting," Working papers 2006/06, Faculty of Business and Economics - University of Basel.
  1734. Florence Andre-Le Pogamp & Khalid El Badraoui, 2013. "Security Design of Callable Convertible Bonds and Issuers' External Financing Costs," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 56(1), pages 61-81.
  1735. Mohsen Afsharian & Anna Kryvko & Peter Reichling, 2011. "Efficiency and Its Impact on the Performance of European Commercial Banks," FEMM Working Papers 110018, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management.
  1736. Kraft, Holger & Munk, Claus, 2007. "Bond durations: Corporates vs. Treasuries," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3720-3741, December.
  1737. Sak Halis, 2010. "Increasing the number of inner replications of multifactor portfolio credit risk simulation in the t-copula model," Monte Carlo Methods and Applications, De Gruyter, vol. 16(3-4), pages 361-377, January.
  1738. Vilimir Yordanov, 2012. "The Bulgarian Foreign and Domestic Debt ??? A No-Arbitrage Macrofinancial View," William Davidson Institute Working Papers Series wp1032, William Davidson Institute at the University of Michigan.
  1739. Hartmann-Wendels, Thomas, 2005. "Risikoabschläge in der Substanzwertrechnung und Optionspreistheorie," Leasing - Wissenschaft & Praxis, Universität zu Köln, Forschungsinstitut für Leasing, vol. 3(1), pages 19-27.
  1740. Berg, Tobias & Mölls, Sascha H. & Willershausen, Timo, 2009. "(Real-)options, uncertainty and comparative statics: Are Black and Scholes mistaken?," Manuskripte aus den Instituten für Betriebswirtschaftslehre der Universität Kiel 645, Christian-Albrechts-Universität zu Kiel, Institut für Betriebswirtschaftslehre.
  1741. Christian Dorion & Pascal François & Gunnar Grass & Alexandre Jeanneret, 2014. "Convertible Debt and Shareholder Incentives," Cahiers de recherche 1403, CIRPEE.
  1742. Dietsch, Michel & Petey, Joel, 2004. "Should SME exposures be treated as retail or corporate exposures? A comparative analysis of default probabilities and asset correlations in French and German SMEs," Journal of Banking & Finance, Elsevier, vol. 28(4), pages 773-788, April.
  1743. Klaus Düllmann & Nancy Masschelein, 2006. "Sector Concentration in Loan Portfolios and Economic Capital," Working Paper Research 105, National Bank of Belgium.
  1744. repec:spr:reaccs:v:22:y:2017:i:3:d:10.1007_s11142-017-9409-z is not listed on IDEAS
  1745. repec:luc:wpaper:13-2 is not listed on IDEAS
  1746. International Monetary Fund, 2007. "Republic of Poland; Financial Sector Assessment Program-Technical Note-Credit, Growth, and Financial Stability," IMF Staff Country Reports 07/103, International Monetary Fund.
  1747. Gustavo Manso, 2011. "Feedback Effects of Credit Ratings," 2011 Meeting Papers 1338, Society for Economic Dynamics.
  1748. M. Dietsch & K. Düllmann & H. Fraisse & P. Koziol & C. Ott, 2016. "Support for the SME Supporting Factor - Multi-country empirical evidence on systematic risk factor for SME loans," Débats économiques et financiers 23, Banque de France.
  1749. Marcelo Reyes M. & Eugenio Saavedra G, 2005. "Probability of Insolvency," Working Papers Central Bank of Chile 327, Central Bank of Chile.
  1750. Umberto Cherubini & Giovanni Della Lunga, 2001. "Liquidity and credit risk," Applied Mathematical Finance, Taylor & Francis Journals, vol. 8(2), pages 79-95.
  1751. Kizys, Renatas & Paltalidis, Nikos & Vergos, Konstantinos, 2016. "The quest for banking stability in the euro area: The role of government interventions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 40(C), pages 111-133.
  1752. Gobert, Karine & González, Patrick & Lai, Alexandra & Poitevin, Michel, 2003. "Endogenous Value and Financial Fragility," Cahiers de recherche 0306, GREEN.
  1753. Acharya, Viral V & Davydenko, Sergei A. & Strebulaev, Ilya, 2009. "Cash Holdings and Credit Risk," CEPR Discussion Papers 7125, C.E.P.R. Discussion Papers.
  1754. Onorato, Mario & Altman, Edward I., 2005. "An integrated pricing model for defaultable loans and bonds," European Journal of Operational Research, Elsevier, vol. 163(1), pages 65-82, May.
  1755. Bindseil, Ulrich & Domnick, Clemens & Zeuner, Jörg, 2015. "Critique of accommodating central bank policies and the 'expropriation of the saver' - A review," Occasional Paper Series 161, European Central Bank.
  1756. Enzo Dia, 2004. "Monopolistic Pricing in the Banking Industry: a Dynamic Portfolio Model," Finance 0411025, EconWPA.
  1757. Morris, Stephen & Shin, Hyun Song, 2004. "Coordination risk and the price of debt," European Economic Review, Elsevier, vol. 48(1), pages 133-153, February.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.