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Credit Risk and Risk Neutral Default Probabilities: Information About Rating Migrations and Defaults
15 references·16 citing·27 second hop
Credit Risk and Risk Neutral Default Probabilities: Information About Rating Migrations and Defaults (2003)Credit Risk and Risk Neutral Default Prob…Theory of rational option pricing (2005)Theory of rational option pri…The Declining Credit Quality of U.S. Corporate Debt: Myth or Reality? (1998)The Declining Credit Quality …The Effect of Bond-Rating Changes on Bond Price Performance (1997)The Effect of Bond-Rating Cha…An Econometric Model of the Term Structure of Interest-Rate Swap Yields (1997)An Econometric Model of the T…Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Pricing Derivatives on Financ…A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)A Simple Approach to Valuing …Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Corporate Debt Value, Bond Co…The American Put Option Valued Analytically (1984)The American Put Option Value…The valuation of compound options (1979)The valuation of compound opt…ZETATM analysis A new model to identify bankruptcy risk of corporations (1977)ZETATM analysis A new model t…The Valuation of Corporate Liabilities as Compound Options (1977)The Valuation of Corporate Li…Valuing Corporate Securities: Some Effects of Bond Indenture Provisions (1976)Valuing Corporate Securities:…VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)VALUING CORPORATE SECURITIES:…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…Estimating Structural Bond Pricing Models (2019)Estimating Structural Bond Pr…Financial distress and bankruptcy prediction: An appropriate model for listed firms in Vietnam (2018)Financial distress and bankru…Mind the Gap: The Difference between U.S. and European Loan Rates (2016)Mind the Gap: The Difference …Corporate financial distress an empirical analysis of distress risk (2007)Corporate financial distress …The adjustment of credit ratings in advance of defaults (2006)The adjustment of credit rati…Ratings versus market-based measures of default risk in portfolio governance (2004)Ratings versus market-based m…Avoiding the rating bounce: why rating agencies are slow to react to new information (2004)Avoiding the rating bounce: w…The Components of Corporate Credit Spreads: Default, Recovery, Taxes, Jumps, Liquidity, and Market Factors (2003)The Components of Corporate C…Quantifying Credit Risk II: Debt Valuation (2003)Quantifying Credit Risk II: D…Issues in the credit risk modeling of retail markets (2003)Issues in the credit risk mod…Parameterizing credit risk models with rating data (2001)Parameterizing credit risk mo…Estimating Credit Rating Transition Probabilities for Corporate Bonds (2000)Estimating Credit Rating Tran…Estimating and Pricing Credit Risk: An Overview (2000)Estimating and Pricing Credit…A Survey of Contingent‐Claims Approaches to Risky Debt Valuation (2000)A Survey of Contingent‐Claims…A Discrete-Time Approach to Arbitrage-Free Pricing of Credit Derivatives (2000)A Discrete-Time Approach to A…A comparative study of structural models of corporate bond yields: An exploratory investigation (2000)A comparative study of struct…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of Rational Option Pricing (1973)Determinants of corporate borrowing (1977)Option values under stochastic volatility: Theory and empirical estimates (1987)THE GARCH OPTION PRICING MODEL (1995)Arbitrage Theory in Continuous Time (2004)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Financial Ratios and the Probabilistic Prediction of Bankruptcy (1980)Methodological Issues Related to the Estimation of Financial Distress Prediction Models (1984)Forecasting Bankruptcy More Accurately: A Simple Hazard Model (2001)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)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)Modeling Term Structures of Defaultable Bonds (1999)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)An equilibrium characterization of the term structure (1977)Default Risk in Equity Returns (2004)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)The theory and practice of corporate finance: evidence from the field (2001)The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The Determinants of Credit Spread Changes (2001)The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications* (2005)Financial distress and bankruptcy prediction among listed companies using accounting, market and macroeconomic variables (2013)The valuation of options for alternative stochastic processes (1976)
this work references cited by second hop

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
  • 2005Theory of rational option pricing7,161 cited
  • 1994Corporate Debt Value, Bond Covenants, and Optimal Capital Structure2,732 cited
  • 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS2,383 cited
  • 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt2,090 cited
  • 1995Pricing Derivatives on Financial Securities Subject to Credit Risk1,934 cited
  • 1977ZETATM analysis A new model to identify bankruptcy risk of corporations1,812 cited
  • 1979The valuation of compound options1,107 cited
  • 1977The Valuation of Corporate Liabilities as Compound Options830 cited
  • 1997An Econometric Model of the Term Structure of Interest-Rate Swap Yields793 cited
  • 1998The Declining Credit Quality of U.S. Corporate Debt: Myth or Reality?741 cited
  • 1984The American Put Option Valued Analytically728 cited
  • 1976Valuing Corporate Securities: Some Effects of Bond Indenture Provisions461 cited
  • 1997The Effect of Bond-Rating Changes on Bond Price Performance224 cited

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Cited by

  • 2001Parameterizing credit risk models with rating data196 cited
  • 2004Avoiding the rating bounce: why rating agencies are slow to react to new information167 cited
  • 2003The Components of Corporate Credit Spreads: Default, Recovery, Taxes, Jumps, Liquidity, and Market Factors149 cited
  • 2000Estimating Credit Rating Transition Probabilities for Corporate Bonds137 cited
  • 2000A comparative study of structural models of corporate bond yields: An exploratory investigation133 cited
  • 2006The adjustment of credit ratings in advance of defaults118 cited
  • 2003Issues in the credit risk modeling of retail markets113 cited
  • 2018Financial distress and bankruptcy prediction: An appropriate model for listed firms in Vietnam99 cited
  • 2003Quantifying Credit Risk II: Debt Valuation94 cited
  • 2007Corporate financial distress an empirical analysis of distress risk93 cited
  • 2000A Discrete-Time Approach to Arbitrage-Free Pricing of Credit Derivatives88 cited
  • 2000Estimating and Pricing Credit Risk: An Overview85 cited
  • 2000A Survey of Contingent‐Claims Approaches to Risky Debt Valuation79 cited
  • 2019Estimating Structural Bond Pricing Models75 cited
  • 2016Mind the Gap: The Difference between U.S. and European Loan Rates70 cited
  • 2004Ratings versus market-based measures of default risk in portfolio governance70 cited