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ArticleImplied migration rates from credit barrier models

Claudio Albanese2005

Article2005

Implied migration rates from credit barrier models

Claudio Albanese · Oliver X. Chen

26 citations·0/0 files stored·Journal of Banking & Finance

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Credit Risk and Financial Regulations Stochastic processes and financial applications Financial Distress and Bankruptcy Prediction

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References

1973The Pricing of Options and Corporate Liabilities 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates 1999Modeling Term Structures of Defaultable Bonds 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt 1995Pricing Derivatives on Financial Securities Subject to Credit Risk 1998The Variance Gamma Process and Option Pricing 2001Explaining the Rate Spread on Corporate Bonds

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2004Unifying the Three Volatility Models

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Year2005

Typearticle

Published2005-08-04

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations26

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.1016/j.jbankfin.2005.04.011

openalex_workW2010976896

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