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Corporate bond valuation and the term structure of credit spreads · Study

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ArticleCorporate bond valuation and the term structure of credit spreads

Robert B. Litterman1991

Article1991

Corporate bond valuation and the term structure of credit spreads

Robert B. Litterman · Thomas Iben

234 citations·0/0 files stored·The Journal of Portfolio Management

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Credit Risk and Financial Regulations Corporate Finance and Governance Stochastic processes and financial applications

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2005Merton's model, credit risk and volatility skews 2004Default Recovery Rates in Credit Risk Modelling: A Review of the Literature and Empirical Evidence 2008A Markov Model for the Term Structure of Credit Risk Spreads 2005Credit risk modeling with affine processes 2000A comparative study of structural models of corporate bond yields: An exploratory investigation 1998Credit Swap Valuation 2003Does Industry-Wide Distress Affect Defaulted Firms? - Evidence from Creditor Recoveries 2011The Dependence of Recovery Rates and Defaults

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Year1991

Typearticle

Published1991-04-30

VenueThe Journal of Portfolio Management

ISSN-L0095-4918

Languageen

Citations234

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.3905/jpm.1991.409331

openalex_workW1968082541

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