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An Empirical Study of Structural Credit Risk Models Using Stock and Bond Prices
16 references·1 citing·26 second hop
An Empirical Study of Structural Credit Risk Models Using Stock and Bond Prices (2004)An Empirical Study of Structural Credit R…Equity Volatility and Corporate Bond Yields (2003)Equity Volatility and Corpora…The Determinants of Credit Spread Changes (2001)The Determinants of Credit Sp…Explaining the Rate Spread on Corporate Bonds (2001)Explaining the Rate Spread on…Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…Estimating the Price of Default Risk (1999)Estimating the Price of Defau…On cox processes and credit risky securities (1998)On cox processes and credit r…A Markov Model for the Term Structure of Credit Risk Spreads (1997)A Markov Model for the Term S…Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads (1996)Optimal Capital Structure, En…Almost Everything You Wanted to Know about Recoveries on Defaulted Bonds (1996)Almost Everything You Wanted …Changes of numéraire, changes of probability measure and option pricing (1995)Changes of numéraire, changes…MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT (1994)MAXIMUM LIKELIHOOD ESTIMATION…Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Corporate Debt Value, Bond Co…Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Corporate Debt Value, Bond Co…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)On the Pricing of Corporate D…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Calibrating structural models: a new methodology based on stock and credit default swap data (2011)Calibrating structural models…A Theory of the Term Structure of Interest Rates (1985)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Default Risk in Equity Returns (2004)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Affine processes and applications in finance (2003)Credit Risk: Modeling, Valuation and Hedging (2004)Brownian Motion and Stochastic Calculus (2007)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The theory and practice of corporate finance: evidence from the field (2001)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Corporate financing and investment decisions when firms have information that investors do not have (1984)A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)Common risk factors in the returns on stocks and bonds (1993)Corporate Yield Spreads and Bond Liquidity (2007)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)The cost of capital, corporation finance and the theory of investment (2008)Arbitrage Theory in Continuous Time (1998)Prospect Theory and Asset Prices (2001)Credit Spreads and Business Cycle Fluctuations (2012)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates2,752 cited
  • 1994Corporate Debt Value, Bond Covenants, and Optimal Capital Structure2,732 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 2001The Determinants of Credit Spread Changes2,253 cited
  • 1996Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads1,962 cited
  • 2001Explaining the Rate Spread on Corporate Bonds1,580 cited
  • 1997A Markov Model for the Term Structure of Credit Risk Spreads1,476 cited
  • 1998On cox processes and credit risky securities1,213 cited
  • 2003Equity Volatility and Corporate Bond Yields1,194 cited
  • 1995Changes of numéraire, changes of probability measure and option pricing808 cited
  • 1999Estimating the Price of Default Risk724 cited
  • 1996Almost Everything You Wanted to Know about Recoveries on Defaulted Bonds483 cited
  • 1994Corporate Debt Value, Bond Covenants, and Optimal Capital Structure444 cited

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  • 1994MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT391 cited
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    • 2011Calibrating structural models: a new methodology based on stock and credit default swap data26 cited