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Design and Valuation of Debt Contracts

Citations

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Cited by:

  1. 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.
  2. Hege, U. & Mella-Barral, P., 1999. "Collateral, Renegotiation and the Value of Diffusely Held Debt," Discussion Paper 1999-94, Tilburg University, Center for Economic Research.
  3. Nivorozhkin, Eugene, 2005. "Market discipline of subordinated debt in banking: The case of costly bankruptcy," European Journal of Operational Research, Elsevier, vol. 161(2), pages 364-376, March.
  4. Anderson, Ronald W., 2020. "Who bears risk in China's non-financial enterprise debt?," LSE Research Online Documents on Economics 118879, London School of Economics and Political Science, LSE Library.
  5. Francois, Pascal & Hubner, Georges, 2004. "Credit derivatives with multiple debt issues," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 997-1021, May.
  6. Jonathan Batten & Francis In, 2006. "Dynamic interaction and valuation of quality yen Eurobonds in a multivariate EGARCH framework," Applied Financial Economics, Taylor & Francis Journals, vol. 16(12), pages 881-892.
  7. Christopher L. Culp & Yoshio Nozawa & Pietro Veronesi, 2014. "Option-Based Credit Spreads," NBER Working Papers 20776, National Bureau of Economic Research, Inc.
  8. Danis, András & Rettl, Daniel A. & Whited, Toni M., 2014. "Refinancing, profitability, and capital structure," Journal of Financial Economics, Elsevier, vol. 114(3), pages 424-443.
  9. Jukka Isohätälä & Alistair Milne & Donald Robertson, 2020. "The Net Worth Trap: Investment and Output Dynamics in the Presence of Financing Constraints," Mathematics, MDPI, vol. 8(8), pages 1-32, August.
  10. Marco Realdon, "undated". "Convertible Subordinated Debt Valuation and "Conversion in Distress"," Discussion Papers 03/18, Department of Economics, University of York.
  11. Uhrig-Homburg, Marliese, 2005. "Cash-flow shortage as an endogenous bankruptcy reason," Journal of Banking & Finance, Elsevier, vol. 29(6), pages 1509-1534, June.
  12. Gropp, Reint & Vesala, Jukka & Vulpes, Giuseppe, 2006. "Equity and Bond Market Signals as Leading Indicators of Bank Fragility," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(2), pages 399-428, March.
  13. Antill, Samuel & Grenadier, Steven R., 2019. "Optimal capital structure and bankruptcy choice: Dynamic bargaining versus liquidation," Journal of Financial Economics, Elsevier, vol. 133(1), pages 198-224.
  14. Jean-Paul Décamps & Bertrand Djembissi, 2007. "Switching to a poor business activity: optimal capital structure, agency costs and covenant rules," Annals of Finance, Springer, vol. 3(3), pages 389-409, July.
  15. Adriana Breccia & William Perraudin, 2010. "Debt Valuation and Chapter 22," Birkbeck Working Papers in Economics and Finance 1015, Birkbeck, Department of Economics, Mathematics & Statistics.
  16. Correia, Ricardo & Población, Javier, 2015. "A structural model with Explicit Distress," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 112-130.
  17. Agliardi, Elettra & Andergassen, Rainer, 2009. "Last resort gambles, risky debt and liquidation policy," Review of Financial Economics, Elsevier, vol. 18(3), pages 142-155, August.
  18. Nivorozhkin, Eugene, 2005. "The informational content of subordinated debt and equity prices in the presence of bankruptcy costs," European Journal of Operational Research, Elsevier, vol. 163(1), pages 94-101, May.
  19. Anderson, Ronald & Carverhill, Andrew, 2007. "Liquidity and Capital Structure," CEPR Discussion Papers 6044, C.E.P.R. Discussion Papers.
  20. Ulrich Hege & Pierre Mella-Barral, 2005. "Repeated Dilution of Diffusely Held Debt," The Journal of Business, University of Chicago Press, vol. 78(3), pages 737-786, May.
  21. Lambrecht, Bart M. & Myers, Stewart C., 2008. "Debt and managerial rents in a real-options model of the firm," Journal of Financial Economics, Elsevier, vol. 89(2), pages 209-231, August.
  22. Nishihara, Michi & Shibata, Takashi, 2016. "Asset sale, debt restructuring, and liquidation," Journal of Economic Dynamics and Control, Elsevier, vol. 67(C), pages 73-92.
  23. Belal Ehsan Baaquie & Muhammad Mahmudul Karim, 2024. "Corporate bonds: fixed versus stochastic coupons—an empirical study," Journal of Asset Management, Palgrave Macmillan, vol. 25(1), pages 113-128, February.
  24. Decamps, Jean-Paul & Rochet, Jean-Charles & Roger, Benoit, 2004. "The three pillars of Basel II: optimizing the mix," Journal of Financial Intermediation, Elsevier, vol. 13(2), pages 132-155, April.
  25. 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.
  26. Qi, Min & Zhang, Xiaofei & Zhao, Xinlei, 2014. "Unobserved systematic risk factor and default prediction," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 216-227.
  27. Kanak Patel & Ricardo Pereira, 2007. "Expected Default Probabilities in Structural Models: Empirical Evidence," The Journal of Real Estate Finance and Economics, Springer, vol. 34(1), pages 107-133, January.
  28. Nan Chen & S. G. Kou, 2009. "Credit Spreads, Optimal Capital Structure, And Implied Volatility With Endogenous Default And Jump Risk," Mathematical Finance, Wiley Blackwell, vol. 19(3), pages 343-378, July.
  29. Jing-Zhi Huang & Zhan Shi & Hao Zhou, 2020. "Specification Analysis of Structural Credit Risk Models [Corporate bond valuation and hedging with stochastic interest rates and endogenous bankruptcy]," Review of Finance, European Finance Association, vol. 24(1), pages 45-98.
  30. Galai, Dan & Raviv, Alon & Wiener, Zvi, 2007. "Liquidation triggers and the valuation of equity and debt," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3604-3620, December.
  31. Dionne, Georges & Laajimi, Sadok, 2012. "On the determinants of the implied default barrier," Journal of Empirical Finance, Elsevier, vol. 19(3), pages 395-408.
  32. Anderson, Ronald W. & Nyborg, Kjell G., 2011. "Financing and corporate growth under repeated moral hazard," Journal of Financial Intermediation, Elsevier, vol. 20(1), pages 1-24, January.
  33. 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.
  34. Bruche, Max & Naqvi, Hassan, 2010. "A structural model of debt pricing with creditor-determined liquidation," Journal of Economic Dynamics and Control, Elsevier, vol. 34(5), pages 951-967, May.
  35. Philipp J. Schonbucher, 1997. "Team Structure Modelling of Defaultable Bonds," FMG Discussion Papers dp272, Financial Markets Group.
  36. King, Tao-Hsien Dolly & Khang, Kenneth, 2005. "On the importance of systematic risk factors in explaining the cross-section of corporate bond yield spreads," Journal of Banking & Finance, Elsevier, vol. 29(12), pages 3141-3158, December.
  37. Véronique Bastin & Albert Corhay & Georges Hübner & Pierre-Armand Michel, 2002. "Development path and capital structure of belgian biotechnology firms," Working Paper Research 30, National Bank of Belgium.
  38. Mr. Iryna V. Ivaschenko, 2003. "How Much Leverage is too Much, or Does Corporate Risk Determine the Severity of a Recession?," IMF Working Papers 2003/003, International Monetary Fund.
  39. Viral V. Acharya & Jennifer N. Carpenter, 2002. "Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy," The Review of Financial Studies, Society for Financial Studies, vol. 15(5), pages 1355-1383.
  40. Shih-Chuan Tsai, 2007. "Strategic debt service and investment decisions," Applied Economics, Taylor & Francis Journals, vol. 39(11), pages 1409-1424.
  41. Chen, An-Sing & Chu, Hsiang-Hui & Hung, Pi-Hsia & Cheng, Miao-Sih, 2020. "Financial risk and acquirers' stockholder wealth in mergers and acquisitions," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  42. repec:zbw:bofrdp:2014_026 is not listed on IDEAS
  43. Bruche, Max, 2003. "Corporate bond prices and co-ordination failure," LSE Research Online Documents on Economics 24825, London School of Economics and Political Science, LSE Library.
  44. Csóka, Péter & Jean-Jacques Herings, P., 2019. "Liability games," Games and Economic Behavior, Elsevier, vol. 116(C), pages 260-268.
  45. Hackbarth, Dirk & Miao, Jianjun & Morellec, Erwan, 2006. "Capital structure, credit risk, and macroeconomic conditions," Journal of Financial Economics, Elsevier, vol. 82(3), pages 519-550, December.
  46. Acharya, Viral & Bharath, Sreedhar T & Srinivasan, Anand, 2003. "Understanding the Recovery Rates on Defaulted Securities," CEPR Discussion Papers 4098, C.E.P.R. Discussion Papers.
  47. François, Pascal & Naqvi, Hassan, 2023. "Secured and unsecured debt in creditor-friendly bankruptcy," Journal of Corporate Finance, Elsevier, vol. 80(C).
  48. 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.
  49. Massimiliano Affinito & Giorgio Meucci, 2023. "Return of the NPLs to the Bright Side: Which Unlikely to Pay Firms are More Likely to Pay?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 13(02), pages 1-48, June.
  50. Jorgensen, Steffen & Kort, Peter M. & Dockner, Engelbert J., 2006. "Venture capital financed investments in intellectual capital," Journal of Economic Dynamics and Control, Elsevier, vol. 30(11), pages 2339-2361, November.
  51. David, Alexander, 2001. "Pricing the strategic value of putable securities in liquidity crises," Journal of Financial Economics, Elsevier, vol. 59(1), pages 63-99, January.
  52. Realdon, Marco, 2006. "Revisiting cumulative preferred stock valuation," Finance Research Letters, Elsevier, vol. 3(1), pages 2-13, March.
  53. Bruche, Max, 2002. "A structural model of corporate bond pricing with co-ordination failure," LSE Research Online Documents on Economics 24930, London School of Economics and Political Science, LSE Library.
  54. Veronesi, Pietro & Nozawa, Yoshio & Culp, Christopher L., 2014. "Option-Based Credit Spreads," CEPR Discussion Papers 10318, C.E.P.R. Discussion Papers.
  55. 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.
  56. Mark Broadie & Jerome B. Detemple, 2004. "ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications," Management Science, INFORMS, vol. 50(9), pages 1145-1177, September.
  57. Viral Acharya & Sergei A. Davydenko & Ilya A. Strebulaev, 2012. "Cash Holdings and Credit Risk," The Review of Financial Studies, Society for Financial Studies, vol. 25(12), pages 3572-3609.
  58. Morris, Stephen & Shin, Hyun Song, 2004. "Coordination risk and the price of debt," European Economic Review, Elsevier, vol. 48(1), pages 133-153, February.
  59. 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.
  60. Hvide, Hans K., 2005. "Optimal contracts under imperfect enforcement revisited," Discussion Papers 2005/4, Norwegian School of Economics, Department of Business and Management Science.
  61. Dahlström, Tom & Mella-Barral, Pierre, 1999. "Corporate walkout decisions and the value of default," LSE Research Online Documents on Economics 119123, London School of Economics and Political Science, LSE Library.
  62. 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.
  63. Batten, Jonathan & Hogan, Warren, 2002. "A perspective on credit derivatives," International Review of Financial Analysis, Elsevier, vol. 11(3), pages 251-278.
  64. Ilya A. Strebulaev, 2007. "Do Tests of Capital Structure Theory Mean What They Say?," Journal of Finance, American Finance Association, vol. 62(4), pages 1747-1787, August.
  65. Christensen, Peter Ove & Flor, Christian Riis & Lando, David & Miltersen, Kristian R., 2014. "Dynamic capital structure with callable debt and debt renegotiations," Journal of Corporate Finance, Elsevier, vol. 29(C), pages 644-661.
  66. Anne Villamil & Stefan Krasa & Tridib Sharma, 2004. "Enforcement and Firm Finance," 2004 Meeting Papers 868, Society for Economic Dynamics.
  67. Sharon Peleg†Lazar & Alon Raviv, 2017. "Bank Risk Dynamics Where Assets are Risky Debt Claims," European Financial Management, European Financial Management Association, vol. 23(1), pages 3-31, January.
  68. Giesecke, Kay, 2001. "Default compensator, incomplete information, and the term structure of credit spreads," SFB 373 Discussion Papers 2002,8, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  69. Nejadmalayeri, Ali & Singh, Manohar, 2012. "Corporate taxes, strategic default, and the cost of debt," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 2900-2916.
  70. Ulrich Hege & Pierre Mella-Barral, 2019. "Bond Exchange Offers or Collective Action Clauses?," Finance, Presses universitaires de Grenoble, vol. 40(3), pages 77-119.
  71. Anderson, Ronald W. & Carverhill, Andrew, 2006. "Liquidity and capital structure," LSE Research Online Documents on Economics 24632, London School of Economics and Political Science, LSE Library.
  72. Didier Cossin & Henry Schellhorn, 2007. "Credit Risk in a Network Economy," Management Science, INFORMS, vol. 53(10), pages 1604-1617, October.
  73. Panageas, Stavros, 2010. "Bailouts, the incentive to manage risk, and financial crises," Journal of Financial Economics, Elsevier, vol. 95(3), pages 296-311, March.
  74. Stephanie Heck, 2022. "Corporate bond yields and returns: a survey," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(2), pages 179-201, June.
  75. Forte, Santiago, 2004. "Capital structure: optimal leverage and maturity choice in a dynamic model," DEE - Working Papers. Business Economics. WB wb041206, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  76. Duffie, Darrell, 2005. "Credit risk modeling with affine processes," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2751-2802, November.
  77. Marco Realdon, 2006. "Book Values and Market Values of Equity and Debt," Discussion Papers 06/11, Department of Economics, University of York.
  78. Marc Arnold & Ramona Westermann, 2023. "Debt Renegotiations Outside Distress," Review of Finance, European Finance Association, vol. 27(4), pages 1183-1228.
  79. 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.
  80. Rajesh Narayanan & Cihan Uzmanoglu, 2018. "Credit Insurance, Distress Resolution Costs, and Bond Spreads," Financial Management, Financial Management Association International, vol. 47(4), pages 931-951, December.
  81. Ayadi, Mohamed A. & Ben-Ameur, Hatem & Fakhfakh, Tarek, 2016. "A dynamic program for valuing corporate securities," European Journal of Operational Research, Elsevier, vol. 249(2), pages 751-770.
  82. Chu, Yongqiang, 2021. "Debt Renegotiation and Debt Overhang: Evidence from Lender Mergers," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 56(3), pages 995-1021, May.
  83. Shibata, Takashi & Tian, Yuan, 2010. "Reorganization strategies and securities valuation under asymmetric information," International Review of Economics & Finance, Elsevier, vol. 19(3), pages 412-426, June.
  84. Wang, Hao, 2011. "Managerial entrenchment, equity payout and capital structure," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 36-50, January.
  85. Joseph K. Winsen, 2010. "An overview of project finance binomial loan valuation," Review of Financial Economics, John Wiley & Sons, vol. 19(2), pages 84-89, April.
  86. Michael WESTPHALEN, 2002. "Valuation of Sovereign Debt with Strategic Defaulting and Rescheduling," FAME Research Paper Series rp43, International Center for Financial Asset Management and Engineering.
  87. Dumitrescu, Ariadna, 2007. "Valuation of defaultable bonds and debt restructuring," Journal of Corporate Finance, Elsevier, vol. 13(1), pages 94-111, March.
  88. Decamps, Jean-Paul & Faure-Grimaud, Antoine, 2002. "Excessive continuation and dynamic agency costs of debt," European Economic Review, Elsevier, vol. 46(9), pages 1623-1644, October.
  89. Tan, Yingxian & Luo, Pengfei & Yang, Jinqiang & Ling, Aifan, 2020. "Investment and capital structure decisions under strategic debt service with positive externalities," Finance Research Letters, Elsevier, vol. 33(C).
  90. Anderson, Ronald, 2020. "Who Bears Risk in China's Non-financial Enterprise Debt?," CEPR Discussion Papers 15135, C.E.P.R. Discussion Papers.
  91. Nivorozhkin, Eugene, 2001. "An Analysis of Subordinated Debt in Banking: The Case of Costly Bankruptcy," Working Papers in Economics 44, University of Gothenburg, Department of Economics, revised 19 Dec 2001.
  92. 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.
  93. Suresh M. Sundaresan, 2000. "Continuous‐Time Methods in Finance: A Review and an Assessment," Journal of Finance, American Finance Association, vol. 55(4), pages 1569-1622, August.
  94. Rohan Churm & Nikolaos Panigirtzoglou, 2005. "Decomposing credit spreads," Bank of England working papers 253, Bank of England.
  95. 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 07 Jan 2003.
  96. repec:wyi:journl:002109 is not listed on IDEAS
  97. Han, Bing & Zhou, Yi, 2015. "Understanding the term structure of credit default swap spreads," Journal of Empirical Finance, Elsevier, vol. 31(C), pages 18-35.
  98. Koziol, Christian & Lawrenz, Jochen, 2012. "Contingent convertibles. Solving or seeding the next banking crisis?," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 90-104.
  99. Pascal François & Alon Raviv, 2014. "Heterogeneous Beliefs and the Choice Between Private Restructuring and Formal Bankruptcy," Cahiers de recherche 1401, CIRPEE.
  100. Tan, Yingxian & Luo, Pengfei, 2021. "The impact of debt restructuring on dynamic investment and financing policies," Economic Modelling, Elsevier, vol. 102(C).
  101. Raviv, Alon & Sisli-Ciamarra, Elif, 2013. "Executive compensation, risk taking and the state of the economy," Journal of Financial Stability, Elsevier, vol. 9(1), pages 55-68.
  102. Pyo, Unyong & Thompson, Howard E., 2007. "Bond prices in a debt priority structure with absolute priority rule deviation," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(1), pages 113-134, March.
  103. Belal Ehsan Baaquie & Muhammad Mahmudul Karim, 2023. "Pricing risky corporate bonds: An empirical study," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(1), pages 90-121, January.
  104. Jianping Fu & Xingchun Wang & Yongjin Wang, 2012. "Credit spreads, endogenous bankruptcy and liquidity risk," Computational Management Science, Springer, vol. 9(4), pages 515-530, November.
  105. Sheen X. Liu & Howard Qi & Chunchi Wu, 2006. "Personal Taxes, Endogenous Default, and Corporate Bond Yield Spreads," Management Science, INFORMS, vol. 52(6), pages 939-954, June.
  106. Aneel Keswani, 2005. "Estimating A Risky Term Structure Of Brady Bonds," Manchester School, University of Manchester, vol. 73(s1), pages 99-127, September.
  107. Tom Dahlström & Pierre Mella-Barral, 2003. "Corporate Walkout Decisions and the Value of Default," Review of Finance, European Finance Association, vol. 7(3), pages 325-360.
  108. Abel Elizalde, 2006. "Credit Risk Models II: Structural Models," Working Papers wp2006_0606, CEMFI.
  109. David Nickerson, 2022. "Credit Risk, Regulatory Costs and Lending Discrimination in Efficient Residential Mortgage Markets," JRFM, MDPI, vol. 15(5), pages 1-17, April.
  110. Moraux, Franck, 2004. "Modeling the business risk of financially weakened firms: A new approach for corporate bond pricing," International Review of Financial Analysis, Elsevier, vol. 13(1), pages 47-61.
  111. Hisashi Nakamura, 2012. "A Continuous-Time Analysis of Optimal Restructuring of Contracts with Costly Information Disclosure," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 19(2), pages 119-147, May.
  112. Theodosios Dimopoulos & Norman Schürhoff, 2021. "Self-inflicted Debt Crises," Swiss Finance Institute Research Paper Series 21-11, Swiss Finance Institute.
  113. Duffie, Darrell, 2003. "Intertemporal asset pricing theory," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 11, pages 639-742, Elsevier.
  114. Jan Ericsson & Joel Reneby, 1998. "A framework for valuing corporate securities," Applied Mathematical Finance, Taylor & Francis Journals, vol. 5(3-4), pages 143-163.
  115. Xiaodong Xu & John R. Birge, 2006. "Equity valuation, production, and financial planning: A stochastic programming approach," Naval Research Logistics (NRL), John Wiley & Sons, vol. 53(7), pages 641-655, October.
  116. Adriana Breccia, 2004. "Formal Bankruptcy: Strategic Debt Service with Senior and Junior Creditors," Birkbeck Working Papers in Economics and Finance 0411, Birkbeck, Department of Economics, Mathematics & Statistics.
  117. Bourgeon, Jean-Marc & Dionne, Georges, 2013. "On debt service and renegotiation when debt-holders are more strategic," Journal of Financial Intermediation, Elsevier, vol. 22(3), pages 353-372.
  118. Jarrow, Robert A. & Turnbull, Stuart M., 2000. "The intersection of market and credit risk," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 271-299, January.
  119. 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.
  120. Decamps, Jean-Paul & Faure-Grimaud, Antoine, 2000. "Excessive continuation and dynamic agency costs of debt," LSE Research Online Documents on Economics 119106, London School of Economics and Political Science, LSE Library.
  121. Joao C. A. Teixeira, 2005. "An empirical analysis of structural models of corporate debt pricing," Finance 0505001, University Library of Munich, Germany.
  122. Didier Cossin & Benoît Leleux & Entela Saliasi, 2002. "Understanding the Economic Value of Legal Covenants in Investment Contracts: A Real-Options Approach to Venture Equity Contracts," Swiss Finance Institute Research Paper Series rp63, Swiss Finance Institute.
  123. Winsen, Joseph K., 2010. "An overview of project finance binomial loan valuation," Review of Financial Economics, Elsevier, vol. 19(2), pages 84-89, April.
  124. David Nickerson & Robert Jones, 2017. "Collateral Risk and Demographic Discrimination in Mortgage Market Equilibria," Review of Economics & Finance, Better Advances Press, Canada, vol. 9, pages 13-28, August.
  125. Bart Lambrecht & Stewart C. Myers, 2005. "A Theory of Takeovers and Disinvestment," NBER Working Papers 11082, National Bureau of Economic Research, Inc.
  126. David Nickerson, 2016. "Asset Price Volatility, Credit Rationing and Rational Lending Discrimination," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(10), pages 140-158, October.
  127. 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.
  128. Annabi, Amira & Breton, Michèle & François, Pascal, 2012. "Game theoretic analysis of negotiations under bankruptcy," European Journal of Operational Research, Elsevier, vol. 221(3), pages 603-613.
  129. Antonio Trujillo-Ponce & Reyes Samaniego-Medina & Clara Cardone-Riportella, 2014. "Examining what best explains corporate credit risk: accounting-based versus market-based models," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 15(2), pages 253-276, April.
  130. Marisa Cenci & Andrea Gheno, 2005. "Equity and debt valuation with default risk: a discrete structural model," Applied Financial Economics, Taylor & Francis Journals, vol. 15(12), pages 875-881.
  131. Moretto, Michele & Tamborini, Roberto, 2007. "Firm value, illiquidity risk and liquidity insurance," Journal of Banking & Finance, Elsevier, vol. 31(1), pages 103-120, January.
  132. Csóka, Péter, 2018. "Az adósságelengedés modellezése kooperatív játékelmélettel [Modelling debt relief using cooperative game theory]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 768-779.
  133. Koziol, Christian & Lawrenz, Jochen, 2010. "Optimal design of rating-trigger step-up bonds: Agency conflicts versus asymmetric information," Journal of Corporate Finance, Elsevier, vol. 16(2), pages 182-204, April.
  134. Reisz, Alexander S. & Perlich, Claudia, 2007. "A market-based framework for bankruptcy prediction," Journal of Financial Stability, Elsevier, vol. 3(2), pages 85-131, July.
  135. Saa-Requejo, Jesus & Santa-Clara, Pedro, 1997. "Bond Pricing with Default Risk," University of California at Los Angeles, Anderson Graduate School of Management qt3w71g2ch, Anderson Graduate School of Management, UCLA.
  136. Hwang, Young-Soon & Min, Hong-Ghi & McDonald, Judith A. & Kim, Hwagyun & Kim, Bong-Han, 2010. "Using the credit spread as an option-risk factor: Size and value effects in CAPM," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2995-3009, December.
  137. Alena Audzeyeva & Xu Wang, 2023. "Fundamentals, real-time uncertainty and CDS index spreads," Review of Quantitative Finance and Accounting, Springer, vol. 61(1), pages 1-33, July.
  138. Havran, Dániel, 2011. "A vállalati likviditáskezelés szerepe eszközfedezettel rendelkező hitelszerződésekben. Az alkun alapuló megközelítés eredményei [The role of corporate liquidity management under secured debt financ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 633-652.
  139. Zhang, Andrew Jianzhong, 2012. "Distress risk premia in expected stock and bond returns," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 225-238.
  140. Hans K. Hvide & Tore Leite, 2003. "A Theory of Capital Structure with Strategic Defaults and Priority Violations," Finance 0311003, University Library of Munich, Germany.
  141. Moraux, Franck & Silaghi, Florina, 2014. "Inside debt renegotiation: Optimal debt reduction, timing, and the number of rounds," Journal of Corporate Finance, Elsevier, vol. 27(C), pages 269-295.
  142. Edwin O. Fischer & Lisa-Maria Kampl & Ines Wöckl, 2019. "On the Valuation and Analysis of Risky Debt: A Theoretical Approach Using a Multivariate Extension of the Merton Model," Working Paper Series, Social and Economic Sciences 2019-02, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz.
  143. Lotfaliei, Babak, 2018. "The variance risk premium and capital structure," ESRB Working Paper Series 70, European Systemic Risk Board.
  144. Weidong Tian, 2018. "Callable Contingent Capital: Valuation and Default Risk," Management Science, INFORMS, vol. 64(1), pages 112-130, January.
  145. Anderson, Ronald & Sundaresan, Suresh, 2000. "A comparative study of structural models of corporate bond yields: An exploratory investigation," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 255-269, January.
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