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The term structure of credit spreads with jump risk · Study

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ArticleThe term structure of credit spreads with jump risk

Chunsheng Zhou2001

Article2001

The term structure of credit spreads with jump risk

511 citations·0/0 files stored·Journal of Banking & Finance

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

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 511 citations exist upstream.

References

1973The Pricing of Options and Corporate Liabilities 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1985A Theory of the Term Structure of Interest Rates 1977An equilibrium characterization of the term structure 1976Option pricing when underlying stock returns are discontinuous 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates 1997Empirical Performance of Alternative Option Pricing Models 1999Modeling Term Structures of Defaultable Bonds

Cited by

2004Accounting transparency and the term structure of credit spreads 2010The Same Bond at Different Prices: Identifying Search Frictions and Selling Pressures 2003Term Structure Dynamics in Theory and Reality 2011Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives 2001An Analysis of Default Correlations and Multiple Defaults 2007Regime dependent determinants of credit default swap spreads 2003How Much of Corporate-Treasury Yield Spread Is Due to Credit Risk?: A New Calibration Approach 2008Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model

Details

Year2001

Typearticle

Published2001-11-01

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations511

Files0 public / 0

ShelfCredit Risk and Financial Regulations

Identifiers

doi10.1016/s0378-4266(00)00168-0

openalex_workW2092200574

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