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ArticleValuing Credit Derivatives

Francis A. Longstaff1995

Article1995

Valuing Credit Derivatives

Francis A. Longstaff · Eduardo S. Schwartz

142 citations·0/0 files stored·The Journal of Fixed Income

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Credit Risk and Financial Regulations Stochastic processes and financial applications Risk Management in Financial Firms

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References

1973The Pricing of Options and Corporate Liabilities 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1977An equilibrium characterization of the term structure 1976The pricing of commodity contracts 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt

Cited by

2000Estimating Credit Rating Transition Probabilities for Corporate Bonds 2016Asymmetric determinants of CDS spreads: U.S. industry-level evidence through the NARDL approach 2014An analysis of price discovery from panel data models of CDS and equity returns 2003The Trade‐off Model with Mean Reverting Earnings: Theory and Empirical Tests 1999Building Models for Credit Spreads 2000Estimating and Pricing Credit Risk: An Overview 2012Financial Reporting for Financial Instruments 2013Credit default swap spreads and variance risk premia

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Details

Year1995

Typearticle

Published1995-06-30

VenueThe Journal of Fixed Income

ISSN-L1059-8596

Languageen

Citations142

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.3905/jfi.1995.408138

openalex_workW1980661992

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