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Default Parameter Estimation Using Market Prices
10 references·16 citing·33 second hop
Default Parameter Estimation Using Market Prices (2001)Default Parameter Estimation Using Market…The intersection of market and credit risk (2000)The intersection of market an…Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…Estimating the Price of Default Risk (1999)Estimating the Price of Defau…On cox processes and credit risky securities (1998)On cox processes and credit r…A Markov Model for the Term Structure of Credit Risk Spreads (1997)A Markov Model for the Term S…Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Pricing Derivatives on Financ…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…Security Markets: Stochastic Models. (1989)Security Markets: Stochastic …An equilibrium characterization of the term structure (1977)An equilibrium characterizati…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…Option pricing with stochastic liquidity risk: Theory and evidence (2013)Option pricing with stochasti…Reduced‐Form versus Structural Models of Credit Risk: A Case Study of Three Models (2012)Reduced‐Form versus Structura…Predicting loss given default (LGD) for residential mortgage loans: A two-stage model and empirical evidence for UK bank data (2011)Predicting loss given default…Relevance of Risk Capital and Margining for the Valuation of Power Plants: Cash Requirements for Credit Risk Mitigation (2010)Relevance of Risk Capital and…Implied recovery (2009)Implied recoveryDefault recovery rates and LGD in credit risk modelling and practice: An updated review of the literature and empirical evidence (2008)Default recovery rates and LG…& The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications (2008)& The Link between Default an…A Survey of Cyclical Effects in Credit Risk Measurement Models (2005)A Survey of Cyclical Effects …Incorporating Systemic Influences Into Risk Measurements: A Survey of the Literature (2004)Incorporating Systemic Influe…Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model (2004)Estimating the Interest Rate …Default Recovery Rates in Credit Risk Modelling: A Review of the Literature and Empirical Evidence (2004)Default Recovery Rates in Cre…A GENERAL FRAMEWORK FOR PRICING CREDIT RISK (2004)A GENERAL FRAMEWORK FOR PRICI…Does Industry-Wide Distress Affect Defaulted Firms? - Evidence from Creditor Recoveries (2003)Does Industry-Wide Distress A…Default Recovery Rates in Credit Risk Modeling: A Review of the Literature and Empirical Evidence (2003)Default Recovery Rates in Cre…Credit Risk Modeling and Valuation: An Introduction (2003)Credit Risk Modeling and Valu…Estimating expected losses and liquidity discounts implicit in debt prices (2002)Estimating expected losses an…The Pricing of Options and Corporate Liabilities (1973)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)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Option pricing when underlying stock returns are discontinuous (1976)Pricing default swaps: Empirical evidence (2005)Stress-Testing Financial Systems: An Overview of Current Methodologies (2007)What determines Euro area bank CDS spreads? (2012)An Intertemporal Capital Asset Pricing Model (1973)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Affine processes and applications in finance (2003)Credit Risk: Modeling, Valuation and Hedging (2004)Brownian Motion and Stochastic Calculus (2007)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The valuation of options for alternative stochastic processes (1976)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)Dynamic Asset Pricing Theory. (1993)Counterparty Risk and the Pricing of Defaultable Securities (2001)Measuring Abnormal Bond Performance (2008)The Determinants of Credit Default Swap Premia (2009)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)An introduction to general equilibrium with incomplete asset markets (1990)Rational Prepayment and the Valuation of Mortgage-Backed Securities (1995)Stock price volatility and equity premium (2001)Arbitrage Theory in Continuous Time (1998)Explaining the Rate Spread on Corporate Bonds (2001)
this work references cited by second hop

References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 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
  • 1995Pricing Derivatives on Financial Securities Subject to Credit Risk1,934 cited
  • 1997A Markov Model for the Term Structure of Credit Risk Spreads1,476 cited
  • 1998On cox processes and credit risky securities1,213 cited
  • 1999Estimating the Price of Default Risk724 cited
  • 2000The intersection of market and credit risk304 cited
  • 1989Security Markets: Stochastic Models.275 cited

Cited by

  • 2004Default Recovery Rates in Credit Risk Modelling: A Review of the Literature and Empirical Evidence194 cited
  • 2003Credit Risk Modeling and Valuation: An Introduction167 cited
  • 2005A Survey of Cyclical Effects in Credit Risk Measurement Models135 cited
  • 2010Relevance of Risk Capital and Margining for the Valuation of Power Plants: Cash Requirements for Credit Risk Mitigation115 cited
  • 2003Does Industry-Wide Distress Affect Defaulted Firms? - Evidence from Creditor Recoveries

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113 cited
  • 2004Incorporating Systemic Influences Into Risk Measurements: A Survey of the Literature100 cited
  • 2008& The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications100 cited
  • 2004A GENERAL FRAMEWORK FOR PRICING CREDIT RISK84 cited
  • 2008Default recovery rates and LGD in credit risk modelling and practice: An updated review of the literature and empirical evidence81 cited
  • 2013Option pricing with stochastic liquidity risk: Theory and evidence74 cited
  • 2012Reduced‐Form versus Structural Models of Credit Risk: A Case Study of Three Models73 cited
  • 2003Default Recovery Rates in Credit Risk Modeling: A Review of the Literature and Empirical Evidence72 cited
  • 2002Estimating expected losses and liquidity discounts implicit in debt prices70 cited
  • 2009Implied recovery66 cited
  • 2011Predicting loss given default (LGD) for residential mortgage loans: A two-stage model and empirical evidence for UK bank data62 cited
  • 2004Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model60 cited