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An inhomogeneous semi-Markov model for the term structure of credit risk spreads
16 references·3 citing·38 second hop
An inhomogeneous semi-Markov model for the term structure of credit risk spreads (2006)An inhomogeneous semi-Markov model for th…Stochastic calculus for finance (2004)Stochastic calculus for finan…Stochastic Calculus for Finance II: Continuous-Time Models (2004)Stochastic Calculus for Finan…Credit Risk: Modeling, Valuation and Hedging (2004)Credit Risk: Modeling, Valuat…Credit Risk Modeling (2004)Credit Risk ModelingCredit Risk (2003)Credit RiskAnalyzing rating transitions and rating drift with continuous observations (2002)Analyzing rating transitions …Default and Recovery Rates of Corporate Bond Issuers: 2000 (2001)Default and Recovery Rates of…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…Martingale Methods in Financial Modelling (1997)Martingale Methods in Financi…Continuous-time term structure models: Forward measure approach (1997)Continuous-time term structur…A Markov Model for the Term Structure of Credit Risk Spreads (1997)A Markov Model for the Term S…Pricing Credit-Sensitive Debt When Interest Rates, Credit Ratings and Credit Spreads are Stochastic (1996)Pricing Credit-Sensitive Debt…Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Pricing Derivatives on Financ…Changes of numéraire, changes of probability measure and option pricing (1995)Changes of numéraire, changes…Statistical Techniques for Manpower Planning. (1979)Statistical Techniques for Ma…Downward migration credit risk problem: a non-homogeneous backward semi-Markov reliability approach (2015)Downward migration credit ris…Fuzzy semi-Markov migration process in credit risk (2013)Fuzzy semi-Markov migration p…Initial and Final Backward and Forward Discrete Time Non-homogeneous Semi-Markov Credit Risk Models (2009)Initial and Final Backward an…VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)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)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)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)Modelling Extremal Events (1997)Term Structure Dynamics in Theory and Reality (2003)Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (2003)Stochastic Integration and Differential Equations (2005)Financial distress and corporate risk management: Theory and evidence (2008)Numerical solution of stochastic differential equations (2016)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)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Affine processes and applications in finance (2003)Brownian Motion and Stochastic Calculus (2007)Theory of Rational Option Pricing (1973)Closed Form Solutions for Term Structure Derivatives with Log‐Normal Interest Rates (1997)LIBOR and swap market models and measures (1997)Time-changed Lévy processes and option pricing (2003)Financial Ratios As Predictors of Failure (1966)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)From failure to failure: The politics of international banking regulation (2011)Transnational regulatory capture? An empirical examination of the transnational lobbying of the Basel Committee on Banking Supervision (2012)Arbitrage Theory in Continuous Time (1998)Explaining the Rate Spread on Corporate Bonds (2001)How Profitable Is Capital Structure Arbitrage? (2006)Measuring Default Risk Premia from Default Swap Rates and EDFs (2007)An Empirical Analysis of the Pricing of Collateralized Debt Obligations (2008)A Liquidity-Based Theory of Closed-End Funds (2008)ASSET PRICE BUBBLES IN INCOMPLETE MARKETS (2010)
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References

  • 1999Modeling Term Structures of Defaultable Bonds2,547 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
  • 1998On cox processes and credit risky securities1,213 cited
  • 2004Stochastic Calculus for Finance II: Continuous-Time Models1,104 cited
  • 1997Martingale Methods in Financial Modelling1,085 cited
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  • 1995Changes of numéraire, changes of probability measure and option pricing808 cited
  • 2003Credit Risk560 cited
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  • 2002Analyzing rating transitions and rating drift with continuous observations439 cited
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  • 2001Default and Recovery Rates of Corporate Bond Issuers: 2000228 cited
  • 1979Statistical Techniques for Manpower Planning.184 cited
  • 1997Continuous-time term structure models: Forward measure approach

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160 cited

Cited by

  • 2013Fuzzy semi-Markov migration process in credit risk42 cited
  • 2009Initial and Final Backward and Forward Discrete Time Non-homogeneous Semi-Markov Credit Risk Models38 cited
  • 2015Downward migration credit risk problem: a non-homogeneous backward semi-Markov reliability approach20 cited