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Citations for "A Markov Model for the Term Structure of Credit Risk Spreads"

by Jarrow, Robert A & Lando, David & Turnbull, Stuart M

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  1. Banu Simmons-Süer, 2013. "Forecasting High-Yield Bond Spreads Using the Loan Market as Leading Indicator," KOF Working papers 13-328, KOF Swiss Economic Institute, ETH Zurich.
  2. Nystrom, Kaj & Skoglund, Jimmy, 2006. "A credit risk model for large dimensional portfolios with application to economic capital," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2163-2197, August.
  3. Xu, Ruxing & Li, Shenghong, 2010. "Belief updating, debt pricing and financial decisions under asymmetric information," Research in International Business and Finance, Elsevier, vol. 24(2), pages 123-137, June.
  4. Carol Alexander & Andreas Kaeck, 2006. "Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices," ICMA Centre Discussion Papers in Finance icma-dp2006-08, Henley Business School, Reading University.
  5. Peter Carr & Vadim Linetsky, 2006. "A jump to default extended CEV model: an application of Bessel processes," Finance and Stochastics, Springer, vol. 10(3), pages 303-330, September.
  6. 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.
  7. Regis Houssou & Olivier Besson, 2010. "Indifference of Defaultable Bonds with Stochastic Intensity models," Papers 1003.4118, arXiv.org.
  8. Frydman, Halina & Schuermann, Til, 2008. "Credit rating dynamics and Markov mixture models," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 1062-1075, June.
  9. Jean Helwege & Christopher M. Turner, 1997. "The slope of the credit yield curve for speculative-grade issuers," Research Paper 9725, Federal Reserve Bank of New York.
  10. 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.
  11. Cossin, Didier & Pirotte, Hugues, 1997. "Swap credit risk: An empirical investigation on transaction data," Journal of Banking & Finance, Elsevier, vol. 21(10), pages 1351-1373, October.
  12. Allen, Linda & DeLong, Gayle & Saunders, Anthony, 2004. "Issues in the credit risk modeling of retail markets," Journal of Banking & Finance, Elsevier, vol. 28(4), pages 727-752, April.
  13. Alexis Derviz & Narcisa Kadlcáková, 2005. "Business cycle, credit risk and economic capital determination by commercial banks," BIS Papers chapters, in: Bank for International Settlements (ed.), Investigating the relationship between the financial and real economy, volume 22, pages 299-327 Bank for International Settlements.
  14. Daniel Rösch & Harald Scheule, 2014. "Forecasting Mortgage Securitization Risk Under Systematic Risk and Parameter Uncertainty," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 81(3), pages 563-586, 09.
  15. Wei, Jason Z., 2003. "A multi-factor, credit migration model for sovereign and corporate debts," Journal of International Money and Finance, Elsevier, vol. 22(5), pages 709-735, October.
  16. C. N. V. Krishnan & Peter H. Ritchken & James B. Thomson, 2004. "On credit spread slopes and predicting bank risk," Proceedings 938, Federal Reserve Bank of Chicago.
  17. Robert Elliott & Jia Shen, 2015. "Credit risk and contagion via self-exciting default intensity," Annals of Finance, Springer, vol. 11(3), pages 319-344, November.
  18. Lando, David & Mortensen, Allan, 2004. "On the Pricing of Step-Up Bonds in the European Telecom Sector," Working Papers 2004-9, Copenhagen Business School, Department of Finance.
  19. Tzahi Yavin & Hu Zhang & Eugene Wang & Michael A. Clayton, 2011. "Transition Probability Matrix Methodology for Incremental Risk Charge," Papers 1102.3857, arXiv.org.
  20. Carl Chiarella & Viviana Fanelli & Silvana Musti, 2009. "Modelling the Evolution of Credit Spreads Using the Cox Process Within the HJM Framework A CDS Option Pricing Model," Research Paper Series 255, Quantitative Finance Research Centre, University of Technology, Sydney.
  21. Hayette Gatfaoui, 2003. "From Fault Tree to Credit Risk Assessment: An Empirical Attempt," Risk and Insurance 0308003, EconWPA.
  22. Zhou, Richard, 2010. "Counterparty Risk Subject To ATE," MPRA Paper 28067, University Library of Munich, Germany.
  23. Manmohan Singh, 2003. "Are Credit Default Swaps Spreads High in Emerging Markets; An Alternative Methodology for Proxying Recovery Value," IMF Working Papers 03/242, International Monetary Fund.
  24. Patrick Houweling & Jaap Hoek & Frank Kleibergen, 1999. "The Joint Estimation of Term Structures and Credit Spreads," Tinbergen Institute Discussion Papers 99-027/4, Tinbergen Institute.
  25. Chava, Sudheer & Jarrow, Robert, 2008. "Modeling loan commitments," Finance Research Letters, Elsevier, vol. 5(1), pages 11-20, March.
  26. Jafry, Yusuf & Schuermann, Til, 2004. "Measurement, estimation and comparison of credit migration matrices," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2603-2639, November.
  27. Chan, Kam Fong & Marsden, Alastair, 2014. "Macro risk factors of credit default swap indices in a regime-switching framework," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 285-308.
  28. Ansgar Belke & Christian Gokus, 2011. "Volatility Patterns of CDS, Bond and Stock Markets Before and During the Financial Crisis – Evidence from Major Financial Institutions," Ruhr Economic Papers 0243, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  29. 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.
  30. Yang, Hailiang, 2003. "Ruin theory in a financial corporation model with credit risk," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 135-145, August.
  31. Dragon Tang & Hong Yan, 2006. "Macroeconomic Conditions, Firm Characteristics, and Credit Spreads," Journal of Financial Services Research, Springer;Western Finance Association, vol. 29(3), pages 177-210, June.
  32. Lindset, Snorre & Lund, Arne-Christian & Persson, Svein-Arne, 2014. "Credit risk and asymmetric information: A simplified approach," Journal of Economic Dynamics and Control, Elsevier, vol. 39(C), pages 98-112.
  33. 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.
  34. Darrell Duffie & Jun Pan & Kenneth Singleton, 2000. "Transform Analysis and Asset Pricing for Affine Jump-Diffusions," Econometrica, Econometric Society, vol. 68(6), pages 1343-1376, November.
  35. Giesecke, Kay & Weber, Stefan, 2006. "Credit contagion and aggregate losses," Journal of Economic Dynamics and Control, Elsevier, vol. 30(5), pages 741-767, May.
  36. Claudio Fontana & Thorsten Schmidt, 2016. "General dynamic term structures under default risk," Papers 1603.03198, arXiv.org.
  37. Hui Chen, 2010. "Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure," NBER Working Papers 16151, National Bureau of Economic Research, Inc.
  38. D. Duffie & D. Filipovic & W. Schachermayer, 2002. "Affine Processes and Application in Finance," NBER Technical Working Papers 0281, National Bureau of Economic Research, Inc.
  39. Hans Byström & Oh-Kang Kwon, 2003. "A Simple Continuous Measure of Credit Risk," Research Paper Series 111, Quantitative Finance Research Centre, University of Technology, Sydney.
  40. Kanak Patel & Prodromos Vlamis, 2006. "An Empirical Estimation of Default Risk of the UK Real Estate Companies," The Journal of Real Estate Finance and Economics, Springer, vol. 32(1), pages 21-40, February.
  41. Sharma, Susan Sunila & Thuraisamy, Kannan, 2013. "Oil price uncertainty and sovereign risk: Evidence from Asian economies," Journal of Asian Economics, Elsevier, vol. 28(C), pages 51-57.
  42. 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.).
  43. 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.
  44. Xing, Haipeng & Sun, Ning & Chen, Ying, 2012. "Credit rating dynamics in the presence of unknown structural breaks," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 78-89.
  45. Berardi, Andrea & Ciraolo, Stefania & Trova, Michele, 2004. "Predicting default probabilities and implementing trading strategies for emerging markets bond portfolios," Emerging Markets Review, Elsevier, vol. 5(4), pages 447-469, December.
  46. Tak-Kuen Siu & Wai-Ki Ching & Eric Fung & Michael Ng, 2005. "Extracting Information from Spot Interest Rates and Credit Ratings using Double Higher-Order Hidden Markov Models," Computational Economics, Society for Computational Economics, vol. 26(3), pages 69-102, November.
  47. Skinner, Frank S. & Nuri, Julinda, 2007. "Hedging emerging market bonds and the rise of the credit default swap," International Review of Financial Analysis, Elsevier, vol. 16(5), pages 452-470.
  48. Alexander, Carol & Kaeck, Andreas, 2008. "Regime dependent determinants of credit default swap spreads," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 1008-1021, June.
  49. Arthur M. Berd, 2009. "A Guide to Modeling Credit Term Structures," Papers 0912.4623, arXiv.org, revised Dec 2009.
  50. Chen, Cho-Jieh & Panjer, Harry, 2003. "Unifying discrete structural models and reduced-form models in credit risk using a jump-diffusion process," Insurance: Mathematics and Economics, Elsevier, vol. 33(2), pages 357-380, October.
  51. Roger WALDER, 2002. "Interactions Between Market and Credit Risk: Modeling the Joint Dynamics of Default-Free and Defaultable Bond Term Structures," FAME Research Paper Series rp56, International Center for Financial Asset Management and Engineering.
  52. Liang, Jin & Zhao, Yuejuan & Zhang, Xudan, 2016. "Utility indifference valuation of corporate bond with credit rating migration by structure approach," Economic Modelling, Elsevier, vol. 54(C), pages 339-346.
  53. Jinghai Shao & Siming Li & Yong Li, 2016. "Estimation and prediction of credit risk based on rating transition systems," Papers 1607.00448, arXiv.org.
  54. Haishi Huang, 2009. "Convertible Bonds: Default Risk and Uncertain Volatility," Bonn Econ Discussion Papers bgse09_2010, University of Bonn, Germany.
  55. Alexis Derviz & Narcisa Kadlcakova & Lucie Kobzova, 2003. "Credit Risk, Systemic Uncertainties and Economic Capital Requirements for an Artificial Bank Loan Portfolio," Working Papers 2003/09, Czech National Bank, Research Department.
  56. Dilip Madan & George Pennacchi, 2003. "Introduction: Special Issue on Pricing the Risks of Deposit Insurance," Journal of Financial Services Research, Springer;Western Finance Association, vol. 24(2), pages 89-92, October.
  57. Jaesun Noh, 2004. "Estimation of Credit and Default Spreads: An Application to CDO Valuation," Econometric Society 2004 Far Eastern Meetings 444, Econometric Society.
  58. Julien Vedani & Fabien Ramaharobandro, 2013. "Continuous compliance: a proxy-based monitoring framework," Papers 1309.7222, arXiv.org, revised Dec 2013.
  59. Bank for International Settlements, 2011. "Portfolio and risk management for central banks and sovereign wealth funds," BIS Papers, Bank for International Settlements, number 58, June.
  60. Cakir, Murat, 2001. "Credit Derivatives in Managing Off Balance Sheet Risks by Banks," MPRA Paper 55976, University Library of Munich, Germany.
  61. Simone Varotto, 2011. "Liquidity Risk, Credit Risk, Market Risk and Bank Capital," ICMA Centre Discussion Papers in Finance icma-dp2011-02, Henley Business School, Reading University.
  62. Jeronimo Zettelmeyer & Federico Sturzenegger, 2005. "Haircuts; Estimating Investor Losses in Sovereign Debt Restructurings, 1998-2005," IMF Working Papers 05/137, International Monetary Fund.
  63. F. Andre-le Pogamp & F. Moraux, 2004. "Valuing callable convertible bonds: a reduced approach," Applied Financial Economics, Taylor & Francis Journals, vol. 14(10), pages 743-749.
  64. Duffie, Darrell, 2005. "Credit risk modeling with affine processes," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2751-2802, November.
  65. Zhou, Richard, 2010. "Counterparty Risk Subject To ATE," MPRA Paper 27782, University Library of Munich, Germany.
  66. Batten, Jonathan A. & Fetherston, Thomas A. & Hoontrakul, Pongsak, 2006. "Factors affecting the yields of emerging market issuers: Evidence from the Asia-Pacific region," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(1), pages 57-70, February.
  67. Storm, Hugo & Heckelei, Thomas & Mittelhammer, Ron, 2011. "Bayesian estimation of non-stationary Markov models combining micro and macro data," Discussion Papers 162894, University of Bonn, Institute for Food and Resource Economics.
  68. Li Chen & H. Vincent Poor, 2003. "Credit Risk Modeling and the Term Structure of Credit Spreads," Finance 0312009, EconWPA.
  69. Dunbar, Kwamie & Amin, Abu S., 2012. "Credit risk dynamics in response to changes in the federal funds target: The implication for firm short-term debt," Review of Financial Economics, Elsevier, vol. 21(3), pages 141-152.
  70. Guglielmo D’Amico & Jacques Janssen & Raimondo Manca, 2011. "Discrete Time Non-Homogeneous Semi-Markov Reliability Transition Credit Risk Models and the Default Distribution Functions," Computational Economics, Society for Computational Economics, vol. 38(4), pages 465-481, November.
  71. Antionio Diaz & Frank Skinner, 2001. "Estimating Corporate Yield Curves," ICMA Centre Discussion Papers in Finance icma-dp2001-01, Henley Business School, Reading University.
  72. Gordy, Michael B. & Howells, Bradley, 2006. "Procyclicality in Basel II: Can we treat the disease without killing the patient?," Journal of Financial Intermediation, Elsevier, vol. 15(3), pages 395-417, July.
  73. Livingston, Miles & Naranjo, Andy & Zhou, Lei, 2008. "Split bond ratings and rating migration," Journal of Banking & Finance, Elsevier, vol. 32(8), pages 1613-1624, August.
  74. 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).
  75. Til Schuermann & Yusuf Jafry, 2003. "Measurement and Estimation of Credit Migration Matrices," Center for Financial Institutions Working Papers 03-08, Wharton School Center for Financial Institutions, University of Pennsylvania.
  76. Gao, Long, 2015. "Collaborative forecasting, inventory hedging and contract coordination in dynamic supply risk management," European Journal of Operational Research, Elsevier, vol. 245(1), pages 133-145.
  77. Blöchlinger, Andreas, 2011. "Arbitrage-free credit pricing using default probabilities and risk sensitivities," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 268-281, February.
  78. Thomas, Lyn C. & Allen, David E. & Morkel-Kingsbury, Nigel, 2002. "A hidden Markov chain model for the term structure of bond credit risk spreads," International Review of Financial Analysis, Elsevier, vol. 11(3), pages 311-329.
  79. Cumby, Robert & Pastine, Tuvana, 2001. "Emerging Market Debt: Measuring Credit Quality and Examining Relative Pricing," CEPR Discussion Papers 2866, C.E.P.R. Discussion Papers.
  80. 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.
  81. Wolter, Marcus & Rösch, Daniel, 2014. "Cure events in default prediction," European Journal of Operational Research, Elsevier, vol. 238(3), pages 846-857.
  82. Daniel Roesch & Harald Scheule, 2011. "Securitization Rating Performance and Agency Incentives," Working Papers 182011, Hong Kong Institute for Monetary Research.
  83. Gregory R. Duffee, 1996. "Treasury yields and corporate bond yield spreads: an empirical analysis," Finance and Economics Discussion Series 96-20, Board of Governors of the Federal Reserve System (U.S.).
  84. Frank Skinner & Antonio Diaz, 2002. "An Empirical Study of Credit Default Swaps," ICMA Centre Discussion Papers in Finance icma-dp2003-04, Henley Business School, Reading University, revised Jan 2003.
  85. Jonathan Batten & Warren Hogan & Gady Jacoby, 2005. "Measuring credit spreads: evidence from Australian Eurobonds," Applied Financial Economics, Taylor & Francis Journals, vol. 15(9), pages 651-666.
  86. Ming Fang & Rui Zhong, 2004. "Default Risk, Firm's Characteristics, and Risk Shifting," Yale School of Management Working Papers amz2461, Yale School of Management, revised 01 Mar 2005.
  87. 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.
  88. 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.
  89. Yavin, Tzahi & Zhang, Hu & Wang, Eugene & Clayton, Michael, 2011. "Transition Probability Matrix Methodology for Incremental Risk Charge," MPRA Paper 28740, University Library of Munich, Germany.
  90. repec:hal:journl:halshs-00179325 is not listed on IDEAS
  91. Linda Allen & Anthony Saunders, 2003. "A survey of cyclical effects in credit risk measurement model," BIS Working Papers 126, Bank for International Settlements.
  92. Georges Dionne & Sadok Laajimi & Sofiane Mejri & Madalina Petrescu, 2006. "Estimation of the Default Risk of Publicly Traded Canadian Companies," Cahiers de recherche 0613, CIRPEE.
  93. Viviana Fanelli & Silvana Musti, 2007. "Pricing of CDS Options with the HJM approach: a Numerical Implementation," Quaderni DSEMS 26-2007, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia.
  94. Norbert Jobst & Stavros A. Zenios, 2001. "Extending Credit Risk (Pricing) Models for the Simulation of Portfolios of Interest Rate and Credit Risk Sensitive Securities," Center for Financial Institutions Working Papers 01-25, Wharton School Center for Financial Institutions, University of Pennsylvania.
  95. Chau-Jung Kuo & Chin-Ming Chen & Chao-Hsien Sung, 2011. "Evaluating guarantee fees for loans to small and medium-sized enterprises," Small Business Economics, Springer, vol. 37(2), pages 205-218, September.
  96. 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.
  97. 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.
  98. Federico Sturzenegger, 2002. "Defaults in the 90´s: Factbook and Preliminary Lessons," Business School Working Papers veintidos, Universidad Torcuato Di Tella.
  99. Lindset, Snorre & Lund, Arne-Christian & Persson, Svein-Arne, 2008. "Credit Spreads and Incomplete Information," Discussion Papers 2008/9, Department of Business and Management Science, Norwegian School of Economics.
  100. Choi, Seungmook & Jameson, Mel & Jung, Mookwon, 2013. "The issuance of callable bonds under information asymmetry," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 1-14.
  101. Gregory R. Duffee, 1996. "Estimating the price of default risk," Finance and Economics Discussion Series 96-29, Board of Governors of the Federal Reserve System (U.S.).
  102. Frank S. Nielsen, 2008. "Local polynomial Whittle estimation covering non-stationary fractional processes," CREATES Research Papers 2008-28, Department of Economics and Business Economics, Aarhus University.
  103. Gaspar, Raquel M. & Schmidt, Thorsten, 2005. "Quadratic Portfolio Credit Risk models with Shot-noise Effects," SSE/EFI Working Paper Series in Economics and Finance 616, Stockholm School of Economics.
  104. 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.
  105. Frank Gehmlich & Thorsten Schmidt, 2014. "Dynamic Defaultable Term Structure Modelling beyond the Intensity Paradigm," Papers 1411.4851, arXiv.org, revised Jul 2015.
  106. Christiansen, Charlotte, 2000. "Credit Spreads and the Term Structure of Interest Rates," Finance Working Papers 00-14, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  107. Monfort, A. & Renne, J-P., 2011. "Default, liquidity and crises: an econometric framework," Working papers 340, Banque de France.
  108. Tasca, Paolo & Battiston, Stefano, 2013. "Market Procyclicality and Systemic Risk," MPRA Paper 45156, University Library of Munich, Germany, revised Mar 2013.
  109. Kadam, Ashay & Lenk, Peter, 2008. "Bayesian inference for issuer heterogeneity in credit ratings migration," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2267-2274, October.
  110. Batten, Jonathan & Hogan, Warren, 2002. "A perspective on credit derivatives," International Review of Financial Analysis, Elsevier, vol. 11(3), pages 251-278.
  111. Rösch, Daniel & Scheule, Harald, 2009. "The Empirical Relation between Credit Quality, Recovery and Correlation," Hannover Economic Papers (HEP) dp-418, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  112. Krylova, Elizaveta, 2016. "Determinants of euro-denominated corporate bond spreads," Working Paper Series 1912, European Central Bank.
  113. Alexandros Benos & George Papanastasopoulos, 2005. "Extending the Merton Model: A Hybrid Approach to Assessing Credit Quality," Finance 0505020, EconWPA, revised 03 Jun 2005.
  114. Saar, Dan & Yagil, Yossi, 2015. "Forecasting growth and stock performance using government and corporate yield curves: Evidence from the European and Asian markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 37(C), pages 27-41.
  115. Nickell, Pamela & Perraudin, William & Varotto, Simone, 2007. "Ratings-based credit risk modelling: An empirical analysis," International Review of Financial Analysis, Elsevier, vol. 16(5), pages 434-451.
  116. 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.
  117. Andreas Jobst, 2002. "Loan Securitisation: Default Term Structure and Asset Pricing Based on Loss Prioritisation," FMG Discussion Papers dp422, Financial Markets Group.
  118. Peter Christoffersen & Du Du & Redouane Elkamhi, 2013. "Rare Disasters and Credit Market Puzzles," CREATES Research Papers 2013-45, Department of Economics and Business Economics, Aarhus University.
  119. repec:wyi:journl:002109 is not listed on IDEAS
  120. Esteghamat, Kian, 2003. "A boundary crossing model of counterparty risk," Journal of Economic Dynamics and Control, Elsevier, vol. 27(10), pages 1771-1799, August.
  121. Khieu, Hinh D. & Mullineaux, Donald J. & Yi, Ha-Chin, 2012. "The determinants of bank loan recovery rates," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 923-933.
  122. Hubner, Georges, 2001. "The analytic pricing of asymmetric defaultable swaps," Journal of Banking & Finance, Elsevier, vol. 25(2), pages 295-316, February.
  123. Kwamie Dunbar, 2007. "US Corporate Default Swap Valuation: The Market Liquidity Hypothesis and Autonomous Credit Risk," Working papers 2007-08, University of Connecticut, Department of Economics.
  124. Ammann, Manuel & Kind, Axel & Wilde, Christian, 2003. "Are convertible bonds underpriced? An analysis of the French market," Journal of Banking & Finance, Elsevier, vol. 27(4), pages 635-653, April.
  125. Kris Jacobs & Xiaofei Li, 2008. "Modeling the Dynamics of Credit Spreads with Stochastic Volatility," Management Science, INFORMS, vol. 54(6), pages 1176-1188, June.
  126. 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.
  127. Ericsson, Jan & Reneby, Joel, 1999. "A Note on Contingent Claims Pricing with Non-Traded Assets," SSE/EFI Working Paper Series in Economics and Finance 314, Stockholm School of Economics, revised 01 Feb 2002.
  128. Frank Skinner & Antonio Diaz, 2001. "On modelling credit risk using Arbitrage Free Models," ICMA Centre Discussion Papers in Finance icma-dp2000-08, Henley Business School, Reading University, revised Mar 2000.
  129. Su-Lien Lu & Chau-Jung Kuo, 2005. "How to gauge the credit risk of guarantee issues in a Taiwanese bills finance company: an empirical investigation using a market-based approach," Applied Financial Economics, Taylor & Francis Journals, vol. 15(16), pages 1153-1164.
  130. Stefan Hlawatsch, 2009. "A Framework for LGD Validation of Retail Portfolios," FEMM Working Papers 09025, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management.
  131. Julien Vedani & Fabien Ramaharobandro, 2013. "Continuous compliance: a proxy-based monitoring framework," Working Papers hal-00866531, HAL.
  132. Lando, David & Skodeberg, Torben M., 2002. "Analyzing rating transitions and rating drift with continuous observations," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 423-444, March.
  133. 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.
  134. Batten, Jonathan A. & Jacoby, Gady & Liao, Rose C., 2014. "Corporate yield spreads and real interest rates," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 89-100.
  135. Antonio Trujillo-Ponce & Reyes Samaniego-Medina & Clara Cardone-Riportella, 2012. "Examining what best explains corporate credit risk: accounting-based versus market-based models," Working Papers 12.03, Universidad Pablo de Olavide, Department of Financial Economics and Accounting (former Department of Business Administration).
  136. Kraft, Holger & Steffensen, Mogens, 2009. "Asset allocation with contagion and explicit bankruptcy procedures," Journal of Mathematical Economics, Elsevier, vol. 45(1-2), pages 147-167, January.
  137. Uhrig-Homburg, Marliese, 2013. "Sovereign credit spreads," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4217-4225.
  138. Koichi Matsumoto, 2003. "Implied Default Probability and Credit Derivatives," Asia-Pacific Financial Markets, Springer, vol. 10(2), pages 129-149, September.
  139. Saar, Dan & Yagil, Yossi, 2015. "Forecasting sectorial profitability and credit spreads using bond yields," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 29-43.
  140. Edward I. Altman & Andrea Resti & Andrea Sironi, 2002. "The link between default and recovery rates: effects on the procyclicality of regulatory capital ratios," BIS Working Papers 113, Bank for International Settlements.
  141. Belke, Ansgar & Gokus, Christian, 2011. "Volatility Patterns of CDS, Bond and Stock Markets Before and During the Financial Crisis – Evidence from Major Financial Institutions," Ruhr Economic Papers 243, Rheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI), Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
  142. 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.
  143. Marcel Peter & Martín 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.
  144. Van Tassel, Peter, 2016. "Merger options and risk arbitrage," Staff Reports 761, Federal Reserve Bank of New York.
  145. Xu, Weidong & Xu, Weijun & Li, Hongyi & Xiao, Weilin, 2012. "A jump-diffusion approach to modelling vulnerable option pricing," Finance Research Letters, Elsevier, vol. 9(1), pages 48-56.
  146. Sumon Bhaumik & John S. Landon-Lane, 2007. "Directional Mobility of Ratings," William Davidson Institute Working Papers Series wp900, William Davidson Institute at the University of Michigan.
  147. 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.
  148. Chourdakis, Kyriakos & Dendramis, Yiannis & Tzavalis, Elias, 2014. "Are regime-shift sources of risk priced in the market?," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 151-170.
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