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Valuation of Contingent Pension Liabilities and Guarantees Under Sponsor Default Risk
16 references·3 citing·36 second hop
Valuation of Contingent Pension Liabilities and Guarantees Under Sponsor Default Risk (2010)Valuation of Contingent Pension Liabiliti…Intergenerational risk sharing within funded pension schemes (2010)Intergenerational risk sharin…Options, futures and other derivatives (2008)Options, futures and other de…Longevity Bonds: Financial Engineering, Valuation, and Hedging (2006)Longevity Bonds: Financial En…Do a firm's equity returns reflect the risk of its pension plan?☆ (2006)Do a firm's equity returns re…Valuation, Optimal Asset Allocation and Retirement Incentives of Pension Plans (1997)Valuation, Optimal Asset Allo…Pricing Black-Scholes options with correlated credit risk (1996)Pricing Black-Scholes options…The impact of default risk on the prices of options and other derivative securities (1995)The impact of default risk on…On the Risk of Stocks in the Long Run (1995)On the Risk of Stocks in the …Pensions as Retirement Income Insurance (1989)Pensions as Retirement Income…The Pricing of Options with Default Risk (1987)The Pricing of Options with D…What are Corporate Pension Liabilities? (1982)What are Corporate Pension Li…Pension Funding, Share Prices, and National Savings (1981)Pension Funding, Share Prices…The Principles of Corporate Pension Finance (1977)The Principles of Corporate P…Corporate pension funding policy (1976)Corporate pension funding pol…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…Institutional and individual investors: Saving for old age (2017)Institutional and individual …Pension fund finance and sponsoring companies (2012)Pension fund finance and spon…Pension Benefit Security: A Comparison of Solvency Requirements, a Pension Guarantee Fund, and Sponsor Support (2012)Pension Benefit Security: A C…The Family as an Incomplete Annuities Market (1979)The Family as an Incomplete Annuities Market (1981)Pensions policy in the UK: an economic analysis (1994)Chapter 49 New developments in the economic analysis of retirement (1999)Life-Expectancy Risk and Pensions (2007)Theory of Rational Option Pricing (1973)Taxation and Corporate Pension Policy (1981)The Effect of Voluntary Spin‐off Announcements on Shareholder Wealth (1983)Theory of rational option pricing (2005)Risk Shifting versus Risk Management: Investment Policy in Corporate Pension Plans (2008)The valuation of options for alternative stochastic processes (1976)Option pricing: A simplified approach (1979)Recursive valuation of defaultable securities and the timing of resolution of uncertainty (1996)The intersection of market and credit risk (2000)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)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing when underlying stock returns are discontinuous (1976)An equilibrium characterization of the term structure (1977)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Labor supply flexibility and portfolio choice in a life cycle model (1992)Stock returns and inflation: A long-horizon perspective (1993)Company Stock in Pension Plans: How Costly Is It? (2005)Pensions at a glance: public policies across OECD countries (2005)Neutral or Fair? (2006)Pricing vulnerable European options when the option’s payoff can increase the risk of financial distress (2001)Bivariate option pricing with copulas (2002)Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets' Information Sufficient to Evaluate Credit Risk? (2003)On the Corporate Demand for Insurance: Evidence from the Reinsurance Market (1990)Reversions of Excess Pension Assets after Takeovers (1990)Discounting State and Local Pension Liabilities (2009)Risk-Neutral Pricing Approach for Evaluating BOT Highway Projects with Government Minimum Revenue Guarantee Options (2011)PAMR: Passive aggressive mean reversion strategy for portfolio selection (2012)Financial distress, outside directors and corporate tax aggressiveness spanning the global financial crisis: An empirical analysis (2014)
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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
  • 2008Options, futures and other derivatives646 cited
  • 1976Corporate pension funding policy413 cited
  • 1995On the Risk of Stocks in the Long Run345 cited
  • 1987The Pricing of Options with Default Risk344 cited
  • 1995The impact of default risk on the prices of options and other derivative securities324 cited
  • 1996Pricing Black-Scholes options with correlated credit risk270 cited
  • 1982What are Corporate Pension Liabilities?200 cited
  • 1989Pensions as Retirement Income Insurance194 cited
  • 1977The Principles of Corporate Pension Finance192 cited
  • 2006Do a firm's equity returns reflect the risk of its pension plan?☆187 cited
  • 2010Intergenerational risk sharing within funded pension schemes182 cited
  • 2006Longevity Bonds: Financial Engineering, Valuation, and Hedging179 cited
  • 1997Valuation, Optimal Asset Allocation and Retirement Incentives of Pension Plans176 cited
  • 1981Pension Funding, Share Prices, and National Savings

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159 cited

Cited by

  • 2012Pension Benefit Security: A Comparison of Solvency Requirements, a Pension Guarantee Fund, and Sponsor Support27 cited
  • 2017Institutional and individual investors: Saving for old age26 cited
  • 2012Pension fund finance and sponsoring companies23 cited