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The Pension Protection Fund*
15 references·3 citing·35 second hop
The Pension Protection Fund* (2005)The Pension Protection Fund*Credit Risk (2003)Credit RiskCredit Risk : Pricing, Measurement, and Management (2003)Credit Risk : Pricing, Measur…How Much of Corporate-Treasury Yield Spread Is Due to Credit Risk?: A New Calibration Approach (2002)How Much of Corporate-Treasur…The Determinants of Credit Spread Changes (2001)The Determinants of Credit Sp…Explaining the Rate Spread on Corporate Bonds (2001)Explaining the Rate Spread on…Do Credit Spreads Reflect Stationary Leverage Ratios? (2001)Do Credit Spreads Reflect Sta…Default and Recovery Rates of Corporate Bond Issuers: 2000 (2001)Default and Recovery Rates of…Systematic Risk in Corporate Bond Credit Spreads (1998)Systematic Risk in Corporate …The Value of Pension Benefit Guaranty Corporation Insurance (1994)The Value of Pension Benefit …The future of pensions in the United States (1994)The future of pensions in the…Pension law reform : the report of the Pension Law Review Committee (1993)Pension law reform : the repo…Issues in Pension Economics (1987)Issues in Pension EconomicsCorporate Pension Policy: An Empirical Investigation (1985)Corporate Pension Policy: An …ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…Issues in Pension EconomicsIssues in Pension EconomicsReckless prudence: financialization in UK pension scheme governance after the crisis (2020)Reckless prudence: financiali…Optimal Portfolio Allocation for Corporate Pension Funds (2013)Optimal Portfolio Allocation …Investment Risk and Pensions (2009)Investment Risk and PensionsThe Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)On financial contracting (1979)Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms (2009)The Determinants of Credit Default Swap Premia (2009)Finance and Economics Discussion Series (2022)A Theory of the Term Structure of Interest Rates (1985)Common risk factors in the returns on stocks and bonds (1993)Equity Volatility and Corporate Bond Yields (2003)Corporate Yield Spreads and Bond Liquidity (2007)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)The Role of Pensions in the Labor Market: A Survey of the Literature (1994)Mortality decline and long-run economic growth (2001)Self-insurance in a life-cycle model of labour supply and savings (2005)DEFAULT RISK AND DIVERSIFICATION: THEORY AND APPLICATIONS (2001)Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options (2007)An analysis of price discovery from panel data models of CDS and equity returns (2014)Credit risk measurement and procyclicality (2003)Default Recovery Rates in Credit Risk Modelling: A Review of the Literature and Empirical Evidence (2004)Modeling the effect of macroeconomic factors on corporate default and credit rating transitions (2011)How Profitable Is Capital Structure Arbitrage? (2006)Macroeconomic Dynamics and Credit Risk: A Global Perspective (2006)Safer ratios, riskier portfolios: Banks׳ response to government aid (2014)Correlated default with incomplete information (2003)Latent liquidity: A new measure of liquidity, with an application to corporate bonds (2008)Liquidity Risk Premia in Corporate Bond Markets (2012)Prospect Theory and Asset Prices (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Credit Spreads and Business Cycle Fluctuations (2012)Measuring Default Risk Premia from Default Swap Rates and EDFs (2007)An Empirical Analysis of the Pricing of Collateralized Debt Obligations (2008)
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References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 2001The Determinants of Credit Spread Changes2,253 cited
  • 2001Explaining the Rate Spread on Corporate Bonds1,580 cited
  • 2001Do Credit Spreads Reflect Stationary Leverage Ratios?765 cited
  • 2003Credit Risk : Pricing, Measurement, and Management587 cited
  • 2003Credit Risk560 cited
  • 2002How Much of Corporate-Treasury Yield Spread Is Due to Credit Risk?: A New Calibration Approach256 cited
  • 1987Issues in Pension Economics246 cited
  • 2001Default and Recovery Rates of Corporate Bond Issuers: 2000228 cited
  • 1998Systematic Risk in Corporate Bond Credit Spreads128 cited
  • 1985Corporate Pension Policy: An Empirical Investigation116 cited
  • 1994The Value of Pension Benefit Guaranty Corporation Insurance82 cited
  • n.d.Issues in Pension Economics43 cited
  • 1993Pension law reform : the report of the Pension Law Review Committee39 cited
  • 1994The future of pensions in the United States32 cited

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  • 2020Reckless prudence: financialization in UK pension scheme governance after the crisis

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30 cited
  • 2013Optimal Portfolio Allocation for Corporate Pension Funds21 cited
  • 2009Investment Risk and Pensions13 cited