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Credit Calibration with Structural Models and Equity Return Swap Valuation under Counterparty Risk
16 references·2 citing·38 second hop
Credit Calibration with Structural Models and Equity Return Swap Valuation under Counterparty Risk (2011)Credit Calibration with Structural Models…Credit value adjustment for credit default swaps via the structural default model (2009)Credit value adjustment for c…COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION (2009)COUNTERPARTY RISK FOR CREDIT …Bilateral Counterparty Risk Valuation with Stochastic Dynamical Models and Application to Credit Default Swaps (2008)Bilateral Counterparty Risk V…Credit Default Swap Valuation with Counterparty Risk (2005)Credit Default Swap Valuation…Credit Risk: Modeling, Valuation and Hedging (2004)Credit Risk: Modeling, Valuat…Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model (2004)Credit default swap calibrati…A simple approach for pricing barrier options with time-dependent parameters (2003)A simple approach for pricing…Using Brownian Bridge for Fast Simulation of Jump-Diffusion Processes and Barrier Options (2002)Using Brownian Bridge for Fas…Do Credit Spreads Reflect Stationary Leverage Ratios? (2001)Do Credit Spreads Reflect Sta…A comparative analysis of current credit risk models (2000)A comparative analysis of cur…Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…On cox processes and credit risky securities (1998)On cox processes and credit r…Valuing Risky Fixed Rate Debt: An Extension (1997)Valuing Risky Fixed Rate Debt…Pricing Swap Default Risk (1994)Pricing Swap Default RiskVALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)VALUING CORPORATE SECURITIES:…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures (2018)Disentangling wrong-way risk:…COCO BONDS PRICING WITH CREDIT AND EQUITY CALIBRATED FIRST-PASSAGE FIRM VALUE MODELS (2015)COCO BONDS PRICING WITH CREDI…Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Quantitative models for operational risk: Extremes, dependence and aggregation (2006)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Structural versus Reduced‐Form Models: A New Information‐Based Perspective (2012)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)The Determinants of Credit Spread Changes (2001)A Theory of the Term Structure of Interest Rates (1985)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Default Risk in Equity Returns (2004)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Affine processes and applications in finance (2003)Brownian Motion and Stochastic Calculus (2007)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)Modern Portfolio Theory and Investment Analysis. (1982)Economic Forces and the Stock Market (1986)The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications* (2005)Risk Assessment for Banking Systems (2006)Good and bad credit contagion: Evidence from credit default swaps☆ (2007)An equilibrium characterization of the term structure (1977)On financial contracting (1979)Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms (2009)The Determinants of Credit Default Swap Premia (2009)Finance and Economics Discussion Series (2022)Interest Rate Models Theory and Practice (2001)Interest rate models : theory and practice : with smile, inflation and credit (2006)BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA (2012)The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks* (2006)The Impact of Central Clearing on Counterparty Risk, Liquidity, and Trading: Evidence from the Credit Default Swap Market (2012)Funding Value Adjustments (2018)A barrier option framework for corporate security valuation (2003)Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation (2009)Predictions of Default Probabilities in Structural Models of Debt (2012)
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References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS2,383 cited
  • 1998On cox processes and credit risky securities1,213 cited
  • 2004Credit Risk: Modeling, Valuation and Hedging1,064 cited
  • 2000A comparative analysis of current credit risk models967 cited
  • 2001Do Credit Spreads Reflect Stationary Leverage Ratios?765 cited
  • 1997Valuing Risky Fixed Rate Debt: An Extension303 cited
  • 1994Pricing Swap Default Risk210 cited
  • 2009COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION175 cited
  • 2004Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model163 cited
  • 2009Credit value adjustment for credit default swaps via the structural default model151 cited
  • 2002Using Brownian Bridge for Fast Simulation of Jump-Diffusion Processes and Barrier Options106 cited
  • 2008Bilateral Counterparty Risk Valuation with Stochastic Dynamical Models and Application to Credit Default Swaps102 cited
  • 2005Credit Default Swap Valuation with Counterparty Risk

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98 cited
  • 2003A simple approach for pricing barrier options with time-dependent parameters89 cited
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    • 2015COCO BONDS PRICING WITH CREDIT AND EQUITY CALIBRATED FIRST-PASSAGE FIRM VALUE MODELS27 cited
    • 2018Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures23 cited