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A Structural Analysis of Credit Risk With Risky Collateral: A Methodology for Haircut Determination
16 references·1 citing·33 second hopsampled
A Structural Analysis of Credit Risk With Risky Collateral: A Methodology for Haircut Determination (2003)A Structural Analysis of Credit Risk With…Strategic Debt Service (1997)Strategic Debt ServiceAn Econometric Model of the Term Structure of Interest-Rate Swap Yields (1997)An Econometric Model of the T…A Markov Model for the Term Structure of Credit Risk Spreads (1997)A Markov Model for the Term S…A Continuity Correction for Discrete Barrier Options (1997)A Continuity Correction for D…Swap Rates and Credit Quality (1996)Swap Rates and Credit QualityOptimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads (1996)Optimal Capital Structure, En…Design and Valuation of Debt Contracts (1996)Design and Valuation of Debt …Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Pricing Derivatives on Financ…Changes of numéraire, changes of probability measure and option pricing (1995)Changes of numéraire, changes…A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)A Simple Approach to Valuing …The role of collateral in a model of debt renegotiation (1994)The role of collateral in a m…Pricing Options With Curved Boundaries 1 (1992)Pricing Options With Curved B…An analysis of secured debt (1985)An analysis of secured debtA stochastic calculus model of continuous trading: Complete markets (1983)A stochastic calculus model o…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)THE VALUE OF AN OPTION TO EXC…Inventory Financing with Overconfident Supplier Based on Supply Chain Contract (2018)Inventory Financing with Over…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Modeling Term Structures of Defaultable Bonds (1999)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Theory of rational option pricing (2005)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)Collateral, loan quality and bank risk (1990)Covenants and Collateral as Incentives to Monitor (1995)Lending Relationships and Loan Contract Terms (2008)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing when underlying stock returns are discontinuous (1976)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)The Determinants of Credit Spread Changes (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The theory and practice of corporate finance: evidence from the field (2001)Determinants of corporate borrowing (1977)An equilibrium characterization of the term structure (1977)Default Risk in Equity Returns (2004)An Intertemporal Capital Asset Pricing Model (1973)Investment and the Valuation of Firms When There is an Option to Shut Down (1985)Arbitrage Theory in Continuous Time (2004)A Theory of the Term Structure of Interest Rates (1985)Closed Form Solutions for Term Structure Derivatives with Log‐Normal Interest Rates (1997)LIBOR and swap market models and measures (1997)Time-changed Lévy processes and option pricing (2003)Arbitrage Theory in Continuous Time (1998)Explaining the Rate Spread on Corporate Bonds (2001)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Estimating the Price of Default Risk (1999)Affine Term Structure Models and the Forward Premium Anomaly (2001)Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads (2008)
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References

  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt2,090 cited
  • 1996Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads1,962 cited
  • 1995Pricing Derivatives on Financial Securities Subject to Credit Risk1,934 cited
  • 1978THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER1,740 cited
  • 1997A Markov Model for the Term Structure of Credit Risk Spreads1,476 cited
  • 1995Changes of numéraire, changes of probability measure and option pricing808 cited
  • 1997An Econometric Model of the Term Structure of Interest-Rate Swap Yields793 cited
  • 1985An analysis of secured debt675 cited
  • 1996Design and Valuation of Debt Contracts591 cited
  • 1997Strategic Debt Service523 cited
  • 1996Swap Rates and Credit Quality480 cited
  • 1983A stochastic calculus model of continuous trading: Complete markets431 cited
  • 1997A Continuity Correction for Discrete Barrier Options351 cited
  • 1992Pricing Options With Curved Boundaries 1268 cited
  • 1994

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The role of collateral in a model of debt renegotiation
266 cited

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  • 2018Inventory Financing with Overconfident Supplier Based on Supply Chain Contract15 cited