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Defaultable Bonds and Default Correlation · Study

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PreprintDefaultable Bonds and Default Correlation

Lara Cathcart2002

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Preprintgreen2002

Defaultable Bonds and Default Correlation

Lara Cathcart · Lina El‐Jahel

16 citations·0/0 files stored·SSRN Electronic Journal

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Credit Risk and Financial Regulations Stochastic processes and financial applications Financial Distress and Bankruptcy Prediction

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References

1973The Pricing of Options and Corporate Liabilities 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1977An equilibrium characterization of the term structure 1994Corporate Debt Value, Bond Covenants, and Optimal Capital Structure 1999Modeling Term Structures of Defaultable Bonds 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt

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2003Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications 2007Common Failings: How Corporate Defaults Are Correlated

Details

Year2002

Typepreprint

Published2002-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations16

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.2139/ssrn.331883

openalex_workW2086126805

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