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Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data
16 references·2 citing·36 second hopsampled
Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data (2001)Exploring for the Determinants of Credit …Determinants and Impact of Sovereign Credit Ratings (2007)Determinants and Impact of So…The Determinants of Credit Spread Changes (2001)The Determinants of Credit Sp…Valuing Credit Default Swaps I (2000)Valuing Credit Default Swaps IStability of rating transitions (2000)Stability of rating transitio…Estimating the Price of Default Risk (1999)Estimating the Price of Defau…What Explains Changing Spreads on Emerging-Market Debt: Fundamentals or Market Sentiment? (1998)What Explains Changing Spread…Credit risk measurement: Developments over the last 20 years (1997)Credit risk measurement: Deve…An 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…Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads (1996)Optimal Capital Structure, En…Determinants and Impact of Sovereign Credit Ratings (1996)Determinants and Impact of So…Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Pricing Derivatives on Financ…A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)A Simple Approach to Valuing …Is a Bond Rating Downgrade Bad News, Good News, or No News for Stockholders? (1993)Is a Bond Rating Downgrade Ba…THE ADJUSTMENT OF STOCK PRICES TO BOND RATING CHANGES (1978)THE ADJUSTMENT OF STOCK PRICE…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…Modeling the dependence structure between default risk premium, equity return volatility and the jump risk: Evidence from a financial crisis (2011)Modeling the dependence struc…Explaining Credit Default Swap Spreads With the Equity Volatility and Jump Risks of Individual Firms (2007)Explaining Credit Default Swa…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)Modeling Term Structures of Defaultable Bonds (1999)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)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 theory and practice of corporate finance: evidence from the field (2001)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The valuation of options for alternative stochastic processes (1976)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Bank Capital Regulation in Contemporary Banking Theory: A Review of the Literature (2001)Macroeconomic Dynamics and Credit Risk: A Global Perspective (2006)Safer ratios, riskier portfolios: Banks׳ response to government aid (2014)An equilibrium characterization of the term structure (1977)Default Risk in Equity Returns (2004)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)Dynamic Asset Pricing Theory. (1993)Counterparty Risk and the Pricing of Defaultable Securities (2001)Measuring Abnormal Bond Performance (2008)The Determinants of Credit Default Swap Premia (2009)Valuation effects of security offerings and the issuance process (1986)Sovereign Debt: Is To Forgive To Forget? (1988)The Effect of Bond Rating Agency Announcements on Bond and Stock Prices (1992)Global Capital and National Governments (2001)The Globalization of Liberalization: Policy Diffusion in the International Political Economy (2004)The pricing of sovereign risk and contagion during the European sovereign debt crisis (2012)A Theory of the Term Structure of Interest Rates (1985)Arbitrage Theory in Continuous Time (1998)Explaining the Rate Spread on Corporate Bonds (2001)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Common risk factors in the returns on stocks and bonds (1993)Prospect Theory and Asset Prices (2001)Credit Spreads and Business Cycle Fluctuations (2012)Affine Term Structure Models and the Forward Premium Anomaly (2001)Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads (2008)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 2001The Determinants of Credit Spread Changes2,253 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
  • 1995Pricing Derivatives on Financial Securities Subject to Credit Risk1,934 cited
  • 1997A Markov Model for the Term Structure of Credit Risk Spreads1,476 cited
  • 1997Credit risk measurement: Developments over the last 20 years806 cited
  • 1997An Econometric Model of the Term Structure of Interest-Rate Swap Yields793 cited
  • 1999Estimating the Price of Default Risk724 cited
  • 1996Determinants and Impact of Sovereign Credit Ratings652 cited
  • 2000Stability of rating transitions562 cited
  • 1993Is a Bond Rating Downgrade Bad News, Good News, or No News for Stockholders?512 cited
  • 2007Determinants and Impact of Sovereign Credit Ratings509 cited
  • 1998What Explains Changing Spreads on Emerging-Market Debt: Fundamentals or Market Sentiment?505 cited
  • 2000Valuing Credit Default Swaps I426 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 1978THE ADJUSTMENT OF STOCK PRICES TO BOND RATING CHANGES304 cited
  • Cited by

    • 2011Modeling the dependence structure between default risk premium, equity return volatility and the jump risk: Evidence from a financial crisis36 cited
    • 2007Explaining Credit Default Swap Spreads With the Equity Volatility and Jump Risks of Individual Firms32 cited