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A Markov Model for the Term Structure of Credit Risk Spreads

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References

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2010Corporate Bond Default Risk: A 150-Year Perspective175 cited

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2003Credit Risk Modeling and Valuation: An Introduction167 cited

2000Counterparty Risk and the Pricing of Defaultable Securities148 cited

2003Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets' Information Sufficient to Evaluate Credit Risk?139 cited

2011The Dependence of Recovery Rates and Defaults112 cited

2011The determinants of bank loan recovery rates109 cited

2001DEFAULT RISK AND DIVERSIFICATION: THEORY AND APPLICATIONS92 cited

2012Systematic Risk, Debt Maturity, and the Term Structure of Credit Spreads85 cited

2010A Market-Based Study of the Cost of Default79 cited

1999Stochastic orders and their applications in financial optimization59 cited

1996On measuring credit risks of derivative instruments56 cited

1996Treasury Yields and Corporate Bond Yield Spreads: An Empirical Analysis53 cited

1996The Valuation of Default Risk in Corporate Bonds and Interest Rate Swaps47 cited

2005Default Correlation in Reduced-Form Models47 cited

2002The link between default and recovery rates: effects on the procyclicality of regulatory capital ratios45 cited

2007The Term Structure of Credit Spreads in Project Finance37 cited