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Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model
16 references·3 citing·33 second hop
Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model (2004)Estimating the Interest Rate Term Structu…Credit Risk: Modeling, Valuation and Hedging (2004)Credit Risk: Modeling, Valuat…Default Parameter Estimation Using Market Prices (2001)Default Parameter Estimation …Counterparty Risk and the Pricing of Defaultable Securities (2001)Counterparty Risk and the Pri…Value At Risk: The New Benchmark for Managing Financial Risk (2000)Value At Risk: The New Benchm…Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…Beyond Value at Risk: The New Science of Risk Management (1998)Beyond Value at Risk: The New…Modelling Fixed Income Securities and Interest Rate Options. (1996)Modelling Fixed Income Securi…Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Pricing Derivatives on Financ…Fitting The Term Structure of Interest Rates With Smoothing Splines (1995)Fitting The Term Structure of…Fitting Yield Curves and Forward Rate Curves With Maximum Smoothness (1994)Fitting Yield Curves and Forw…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…Interest Rate Term Structure Estimation with Exponential Splines: A Note (1985)Interest Rate Term Structure …A New Approach to Estimation of the Term Structure of Interest Rates (1984)A New Approach to Estimation …Term Structure Modeling Using Exponential Splines (1982)Term Structure Modeling Using…THE TAX‐ADJUSTED YIELD CURVE (1975)THE TAX‐ADJUSTED YIELD CURVEMeasuring the Term Structure of Interest Rates (1971)Measuring the Term Structure …Dynamics in the international market segmentation of new product growth (2011)Dynamics in the international…The Term Structure of Interest Rates (2009)The Term Structure of Interes…Constrained smoothing -splines for the term structure of interest rates (2009)Constrained smoothing -spline…VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Quantitative models for operational risk: Extremes, dependence and aggregation (2006)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Structural versus Reduced‐Form Models: A New Information‐Based Perspective (2012)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)The Determinants of Credit Spread Changes (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Default Risk in Equity Returns (2004)Option pricing when underlying stock returns are discontinuous (1976)The Theory of Investment Value, by John Burr Williams (1939)What Moves the Stock and Bond Markets? A Variance Decomposition for Long‐Term Asset Returns (1993)Martingales and stochastic integrals in the theory of continuous trading (1981)Stochastic Differential Equations and Diffusion Processes (1983)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Martingales and arbitrage in multiperiod securities markets (1979)Common Failings: How Corporate Defaults Are Correlated (2007)Good and bad credit contagion: Evidence from credit default swaps☆ (2007)Credit Contagion from Counterparty Risk (2009)Pitfalls in Smoothing Interest Rate Term Structure Data: Equilibrium Models and Spline Approximations (1984)The euro area sovereign debt crisis: Identifying flight-to-liquidity and the spillover mechanisms (2013)Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders From Naïve and Optimal Strategies* (2017)Backtesting Value-at-Risk: A Duration-Based Approach (2004)Is gold a safe haven or a hedge for the US dollar? Implications for risk management (2013)Machine Learning in Banking Risk Management: A Literature Review (2019)Sensitivity analysis of Values at Risk (2000)Extreme value theory and Value-at-Risk: Relative performance in emerging markets (2004)Measuring Market Risk (2005)Term Structure of Interest Rates (2008)Noise as Information for Illiquidity (2013)
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References

  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 2000Value At Risk: The New Benchmark for Managing Financial Risk2,478 cited
  • 1995Pricing Derivatives on Financial Securities Subject to Credit Risk1,934 cited
  • 2004Credit Risk: Modeling, Valuation and Hedging1,064 cited
  • 2001Counterparty Risk and the Pricing of Defaultable Securities662 cited
  • 1975THE TAX‐ADJUSTED YIELD CURVE548 cited
  • 1971Measuring the Term Structure of Interest Rates542 cited
  • 1998Beyond Value at Risk: The New Science of Risk Management489 cited
  • 1982Term Structure Modeling Using Exponential Splines251 cited
  • 2001Default Parameter Estimation Using Market Prices206 cited
  • 1996Modelling Fixed Income Securities and Interest Rate Options.176 cited
  • 1984A New Approach to Estimation of the Term Structure of Interest Rates147 cited
  • 1995Fitting The Term Structure of Interest Rates With Smoothing Splines146 cited
  • 1994Fitting Yield Curves and Forward Rate Curves With Maximum Smoothness143 cited

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1985
Interest Rate Term Structure Estimation with Exponential Splines: A Note
120 cited

Cited by

  • 2011Dynamics in the international market segmentation of new product growth37 cited
  • 2009The Term Structure of Interest Rates28 cited
  • 2009Constrained smoothing -splines for the term structure of interest rates24 cited