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An Empirical Evaluation of Structural Credit Risk Models
16 references·3 citing·38 second hopsampled
An Empirical Evaluation of Structural Credit Risk Models (2007)An Empirical Evaluation of Structural Cre…How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)How Much of the Corporate-Tre…Common Failings: How Corporate Defaults Are Correlated (2007)Common Failings: How Corporat…Multi-period corporate default prediction with stochastic covariates (2006)Multi-period corporate defaul…The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications* (2005)The Link between Default and …Structural Models of Corporate Bond Pricing: An Empirical Analysis (2004)Structural Models of Corporat…Assessing the Probability of Bankruptcy (2004)Assessing the Probability of …Are credit ratings procyclical? (2004)Are credit ratings procyclica…Assessing the risk of banking crises (2002)Assessing the risk of banking…Do Credit Spreads Reflect Stationary Leverage Ratios? (2001)Do Credit Spreads Reflect Sta…How Costly is Financial (Not Economic) Distress? Evidence from Highly Leveraged Transactions that Became Distressed (1997)How Costly is Financial (Not …Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads (1996)Optimal Capital Structure, En…A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)A Simple Approach to Valuing …Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Corporate Debt Value, Bond Co…The Term Structure as a Predictor of Real Economic Activity (1991)The Term Structure as a Predi…Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence (1988)Debt/Equity Ratio and Expecte…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…Predicting corporate credit risk: Network contagion via trade credit (2021)Predicting corporate credit r…The Pricing of Credit Default Swaps under a Markov-Modulated Merton’s Structural Model (2008)The Pricing of Credit Default…Economic Integration and Financial Stability (2006)Economic Integration and Fina…Risk, Return, and Equilibrium: Empirical Tests (1973)Estimating betas from nonsynchronous data (1977)The relationship between return and market value of common stocks (1981)Efficient Capital Markets: II (1991)Another Look at the Cross-Section of Expected Stock Returns (1995)Replicating Anomalies (2018)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The Determinants of Credit Spread Changes (2001)The theory and practice of corporate finance: evidence from the field (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)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)An equilibrium characterization of the term structure (1977)Default Risk in Equity Returns (2004)Econometric policy evaluation: A critique (1976)The theory and practice of econometrics (1986)The Information in Long-Maturity Forward Rates (1987)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Credit Spreads and Business Cycle Fluctuations (2012)Corporate financing and investment decisions when firms have information that investors do not have (1984)Managerial discretion and optimal financing policies (1990)Liquidation Values and Debt Capacity: A Market Equilibrium Approach (1992)Financial Distress and Corporate Performance (1994)Agency Costs, Risk Management, and Capital Structure (1998)How Big Are the Tax Benefits of Debt? (2000)Asset Fire Sales (and Purchases) in Equity Markets (2005)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Financial Ratios and the Probabilistic Prediction of Bankruptcy (1980)Forecasting Default with the Merton Distance to Default Model (2008)The impact of corporate social responsibility on the cost of bank loans (2010)Common risk factors in the returns on stocks and bonds (1993)Liquidity and Asset Prices (2006)The Illiquidity of Corporate Bonds (2011)Hazardous Times for Monetary Policy: What Do Twenty-Three Million Bank Loans Say About the Effects of Monetary Policy on Credit Risk-Taking? (2014)
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References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1994Corporate Debt Value, Bond Covenants, and Optimal Capital Structure2,732 cited
  • 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt2,090 cited
  • 1996Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads1,962 cited
  • 1991The Term Structure as a Predictor of Real Economic Activity1,739 cited
  • 2004Assessing the Probability of Bankruptcy1,357 cited
  • 1988Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence1,336 cited
  • 1997How Costly is Financial (Not Economic) Distress? Evidence from Highly Leveraged Transactions that Became Distressed1,255 cited
  • 2012How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk?1,000 cited
  • 2006Multi-period corporate default prediction with stochastic covariates973 cited
  • 2004Structural Models of Corporate Bond Pricing: An Empirical Analysis926 cited
  • 2001Do Credit Spreads Reflect Stationary Leverage Ratios?765 cited
  • 2005The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications*759 cited
  • 2007Common Failings: How Corporate Defaults Are Correlated583 cited
  • 2004

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Are credit ratings procyclical?
402 cited
  • 2002Assessing the risk of banking crises364 cited
  • Cited by

    • 2008The Pricing of Credit Default Swaps under a Markov-Modulated Merton’s Structural Model35 cited
    • 2006Economic Integration and Financial Stability33 cited
    • 2021Predicting corporate credit risk: Network contagion via trade credit22 cited