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Reduced‐Form versus Structural Models of Credit Risk: A Case Study of Three Models
16 references·10 citing·27 second hop
Reduced‐Form versus Structural Models of Credit Risk: A Case Study of Three Models (2012)Reduced‐Form versus Structural Models of …“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Structural Models of Corporate Bond Pricing: An Empirical Analysis (2004)Structural Models of Corporat…Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Corporate Yield Spreads: Defa…Options, Futures and Other Derivatives (2003)Options, Futures and Other De…The Determinants of Credit Spread Changes (2001)The Determinants of Credit Sp…Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Term Structures of Credit Spr…Do Credit Spreads Reflect Stationary Leverage Ratios? (2001)Do Credit Spreads Reflect Sta…Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…Estimating the Price of Default Risk (1999)Estimating the Price of Defau…Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads (1996)Optimal Capital Structure, En…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 …The Valuation of Corporate Liabilities as Compound Options (1977)The Valuation of Corporate Li…VALUING 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…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Application of Vine Copulas to Credit Portfolio Risk Modeling (2016)Application of Vine Copulas t…Systemic risk analysis using forward-looking Distance-to-Default series (2013)Systemic risk analysis using …RISK MANAGEMENT IN BANKS: NEW APPROACHES TO RISK ASSESSMENT AND INFORMATION SUPPORT (2013)RISK MANAGEMENT IN BANKS: NEW…EXAMINING WHAT BEST EXPLAINS CORPORATE CREDIT RISK: ACCOUNTING-BASED VERSUS MARKET-BASED MODELS (2013)EXAMINING WHAT BEST EXPLAINS …NO‐ARBITRAGE PRICING UNDER SYSTEMIC RISK: ACCOUNTING FOR CROSS‐OWNERSHIP (2012)NO‐ARBITRAGE PRICING UNDER SY…The Impact of Government Interventions on CDS and Equity Markets (2011)The Impact of Government Inte…From actual to risk-neutral default probabilities: Merton and beyond (2010)From actual to risk-neutral d…Forecasting the fragility of the banking and insurance sectors (2010)Forecasting the fragility of …AN EMPIRICAL STUDY ON THE DECOUPLING MOVEMENTS BETWEEN CORPORATE BOND AND CDS SPREADS 1 (2009)AN EMPIRICAL STUDY ON THE DEC…Assessing a knowledge-based approach to commercial loan underwriting (2005)Assessing a knowledge-based a…Theory of Rational Option Pricing (1973)The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)A Theory of the Term Structure of Interest Rates (1985)Default Risk in Equity Returns (2004)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)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)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)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)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Liquidity Risk and Expected Stock Returns (2003)Forecasting Default with the Merton Distance to Default Model (2008)The Aggregate Demand for Treasury Debt (2012)The effect of pro-environmental preferences on bond prices: Evidence from green bonds (2018)Common risk factors in the returns on stocks and bonds (1993)Prospect Theory and Asset Prices (2001)Credit Spreads and Business Cycle Fluctuations (2012)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Arbitrage Theory in Continuous Time (1998)A critical review on supply chain risk – Definition, measure and modeling (2014)
this work references cited by second hop

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
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 2003Options, Futures and Other Derivatives3,864 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS2,383 cited
  • 2001The Determinants of Credit Spread Changes2,253 cited
  • 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt2,090 cited
  • 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market2,087 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
  • 2001Term Structures of Credit Spreads with Incomplete Accounting Information1,321 cited
  • 2004Structural Models of Corporate Bond Pricing: An Empirical Analysis926 cited
  • 1977The Valuation of Corporate Liabilities as Compound Options830 cited
  • 2001Do Credit Spreads Reflect Stationary Leverage Ratios?

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765 cited
  • 1999Estimating the Price of Default Risk724 cited
  • Cited by

    • 2011The Impact of Government Interventions on CDS and Equity Markets52 cited
    • 2012NO‐ARBITRAGE PRICING UNDER SYSTEMIC RISK: ACCOUNTING FOR CROSS‐OWNERSHIP50 cited
    • 2010Forecasting the fragility of the banking and insurance sectors50 cited
    • 2013EXAMINING WHAT BEST EXPLAINS CORPORATE CREDIT RISK: ACCOUNTING-BASED VERSUS MARKET-BASED MODELS50 cited
    • 2013Systemic risk analysis using forward-looking Distance-to-Default series46 cited
    • 2010From actual to risk-neutral default probabilities: Merton and beyond34 cited
    • 2009AN EMPIRICAL STUDY ON THE DECOUPLING MOVEMENTS BETWEEN CORPORATE BOND AND CDS SPREADS 133 cited
    • 2005Assessing a knowledge-based approach to commercial loan underwriting27 cited
    • 2016Application of Vine Copulas to Credit Portfolio Risk Modeling23 cited
    • 2013RISK MANAGEMENT IN BANKS: NEW APPROACHES TO RISK ASSESSMENT AND INFORMATION SUPPORT17 cited