SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Quantifying Credit Risk I: Default Prediction
15 references·16 citing·24 second hop
Quantifying Credit Risk I: Default Prediction (2003)Quantifying Credit Risk I: Default Predic…Theory of rational option pricing (2005)Theory of rational option pri…Structural Models of Corporate Bond Pricing: An Empirical Analysis (2004)Structural Models of Corporat…A Markov Model for the Term Structure of Credit Risk Spreads (1997)A Markov Model for the Term S…Almost Everything You Wanted to Know about Recoveries on Defaulted Bonds (1996)Almost Everything You Wanted …Efficient Capital Markets: II (1991)Efficient Capital Markets: IIContingent Claims Analysis of Corporate Capital Structures: an Empirical Investigation (1984)Contingent Claims Analysis of…ZETATM analysis A new model to identify bankruptcy risk of corporations (1977)ZETATM analysis A new model t…A contingent-claims valuation of convertible securities (1977)A contingent-claims valuation…VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)VALUING CORPORATE SECURITIES:…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)FINANCIAL RATIOS, DISCRIMINAN…Credit Ratings and Credit Risk: Is One Measure Enough? (2016)Credit Ratings and Credit Ris…The Information Content of Basel III Liquidity Risk Measures (2013)The Information Content of Ba…Linking corporate social responsibility to firm default risk (2013)Linking corporate social resp…Value investing in credit markets (2012)Value investing in credit mar…Anchoring Credit Default Swap Spreads to Firm Fundamentals (2012)Anchoring Credit Default Swap…Cost Evaluation of Credit Risk Securitization in the Electricity Industry: Credit Default Acceptance vs. Margining Costs (2011)Cost Evaluation of Credit Ris…Relevance of Risk Capital and Margining for the Valuation of Power Plants: Cash Requirements for Credit Risk Mitigation (2010)Relevance of Risk Capital and…A hybrid bankruptcy prediction model with dynamic loadings on accounting-ratio-based and market-based information: A binary quantile regression approach (2010)A hybrid bankruptcy predictio…Coordination contracts in the presence of positive inventory financing costs (2009)Coordination contracts in the…The Costs of Sovereign Default (2008)The Costs of Sovereign DefaultTwenty‐five years of the Taffler z‐score model: Does it really have predictive ability? (2007)Twenty‐five years of the Taff…Credit Rating Agencies in Capital Markets: A Review of Research Evidence on Selected Criticisms of the Agencies (2007)Credit Rating Agencies in Cap…Corporate financial distress an empirical analysis of distress risk (2007)Corporate financial distress …Default Risk, Shareholder Advantage, and Stock Returns (2006)Default Risk, Shareholder Adv…Multi-Period Corporate Failure Prediction with Stochastic Covariates (2005)Multi-Period Corporate Failur…Merton's model, credit risk and volatility skews (2005)Merton's model, credit risk a…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)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Capital markets research in accounting (2001)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Users of the world, unite! The challenges and opportunities of Social Media (2009)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Financial Ratios and the Probabilistic Prediction of Bankruptcy (1980)Methodological Issues Related to the Estimation of Financial Distress Prediction Models (1984)Forecasting Bankruptcy More Accurately: A Simple Hazard Model (2001)The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)The Determinants of Credit Spread Changes (2001)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)Managerial incentives and risk-taking☆ (2005)How does financial reporting quality relate to investment efficiency? (2009)Option pricing: A simplified approach (1979)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1968FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY14,869 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1991Efficient Capital Markets: II5,346 cited
  • 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS2,383 cited
  • 1977ZETATM analysis A new model to identify bankruptcy risk of corporations1,812 cited
  • 1997A Markov Model for the Term Structure of Credit Risk Spreads1,476 cited
  • 2004Structural Models of Corporate Bond Pricing: An Empirical Analysis926 cited
  • 1984Contingent Claims Analysis of Corporate Capital Structures: an Empirical Investigation678 cited
  • 1977A contingent-claims valuation of convertible securities491 cited
  • 1996Almost Everything You Wanted to Know about Recoveries on Defaulted Bonds

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

483 cited

Cited by

  • 2006Default Risk, Shareholder Advantage, and Stock Returns276 cited
  • 2013Linking corporate social responsibility to firm default risk263 cited
  • 2016Credit Ratings and Credit Risk: Is One Measure Enough?234 cited
  • 2005Merton's model, credit risk and volatility skews231 cited
  • 2007Twenty‐five years of the Taffler z‐score model: Does it really have predictive ability?221 cited
  • 2007Credit Rating Agencies in Capital Markets: A Review of Research Evidence on Selected Criticisms of the Agencies198 cited
  • 2013The Information Content of Basel III Liquidity Risk Measures193 cited
  • 2005Multi-Period Corporate Failure Prediction with Stochastic Covariates164 cited
  • 2012Value investing in credit markets141 cited
  • 2009Coordination contracts in the presence of positive inventory financing costs125 cited
  • 2008The Costs of Sovereign Default124 cited
  • 2010Relevance of Risk Capital and Margining for the Valuation of Power Plants: Cash Requirements for Credit Risk Mitigation115 cited
  • 2010A hybrid bankruptcy prediction model with dynamic loadings on accounting-ratio-based and market-based information: A binary quantile regression approach102 cited
  • 2011Cost Evaluation of Credit Risk Securitization in the Electricity Industry: Credit Default Acceptance vs. Margining Costs99 cited
  • 2012Anchoring Credit Default Swap Spreads to Firm Fundamentals96 cited
  • 2007Corporate financial distress an empirical analysis of distress risk93 cited