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Pricing Default Swaps: Empirical Evidence
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Pricing Default Swaps: Empirical Evidence (2001)Pricing Default Swaps: Empirical EvidenceModeling Sovereign Yield Spreads: A Case Study of Russian Debt (2003)Modeling Sovereign Yield Spre…Valuing Credit Default Swaps I (2000)Valuing Credit Default Swaps IModeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…Credit Swap Valuation (1999)Credit Swap ValuationThe Relation Between Treasury Yields and Corporate Bond Yield Spreads (1998)The Relation Between Treasury…Pricing the risks of default (1998)Pricing the risks of defaultAn Econometric Model of the Term Structure of Interest-Rate Swap Yields (1997)An Econometric Model of the T…A Markov Model for the Term Structure of Credit Risk Spreads (1997)A Markov Model for the Term S…Swap Rates and Credit Quality (1996)Swap Rates and Credit QualitySpecial Repo Rates (1996)Special Repo RatesPricing Derivatives on Financial Securities Subject to Credit Risk (1995)Pricing Derivatives on Financ…An Empirical Comparison of Alternative Models of the Short-Term Interest Rate (1992)An Empirical Comparison of Al…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)On the Pricing of Corporate D…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…A Theory of the Term Structure of Interest Rates (1985)The Determinants of Credit Spread Changes (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Default Risk in Equity Returns (2004)Theory of Rational Option Pricing (1973)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Theory of rational option pricing (2005)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Option pricing when underlying stock returns are discontinuous (1976)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Common Factors Affecting Bond Returns (1991)A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)Estimating the Price of Default Risk (1999)Do Credit Spreads Reflect Stationary Leverage Ratios? (2001)A Preferred-Habitat Model of the Term Structure of Interest Rates (2009)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The valuation of options for alternative stochastic processes (1976)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Specification Analysis of Affine Term Structure Models (2000)Term Premia and Interest Rate Forecasts in Affine Models (2002)An equilibrium characterization of the term structure (1977)Affine Term Structure Models and the Forward Premium Anomaly (2001)Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads (2008)The cost of capital, corporation finance and the theory of investment (2008)Arbitrage Theory in Continuous Time (1998)Explaining the Rate Spread on Corporate Bonds (2001)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates2,752 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 1995Pricing Derivatives on Financial Securities Subject to Credit Risk1,934 cited
  • 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate1,679 cited
  • 1997A Markov Model for the Term Structure of Credit Risk Spreads1,476 cited
  • 1997An Econometric Model of the Term Structure of Interest-Rate Swap Yields793 cited
  • 1998The Relation Between Treasury Yields and Corporate Bond Yield Spreads778 cited
  • 1999Credit Swap Valuation636 cited
  • 1996Swap Rates and Credit Quality480 cited
  • 1998Pricing the risks of default469 cited
  • 1996Special Repo Rates461 cited
  • 2000Valuing Credit Default Swaps I426 cited
  • 2003Modeling Sovereign Yield Spreads: A Case Study of Russian Debt

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