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Term Structures of Credit Spreads with Incomplete Accounting Information · Study

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ArticleTerm Structures of Credit Spreads with Incomplete Accounting Information

Darrell Duffie2001

Article2001

Term Structures of Credit Spreads with Incomplete Accounting Information

Darrell Duffie · David Lando

1,321 citations·0/0 files stored·Econometrica

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Credit Risk and Financial Regulations Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1973The Pricing of Options and Corporate Liabilities 1968FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*2007Brownian Motion and Stochastic Calculus 2005Stochastic Integration and Differential Equations 1994Corporate Debt Value, Bond Covenants, and Optimal Capital Structure 2001Forecasting Bankruptcy More Accurately: A Simple Hazard Model 1999Modeling Term Structures of Defaultable Bonds

Cited by

2012How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk?2004Structural Models of Corporate Bond Pricing: An Empirical Analysis 2011Corporate bond liquidity before and after the onset of the subprime crisis 2001Do Credit Spreads Reflect Stationary Leverage Ratios?2009The Determinants of Credit Default Swap Premia 2001Counterparty Risk and the Pricing of Defaultable Securities

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Details

Year2001

Typearticle

Published2001-05-01

VenueEconometrica

ISSN-L0012-9682

Languageen

Citations1,321

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.1111/1468-0262.00208

openalex_workW2118891973

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2010Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure

2015A Review of the IFRS-Adoption Literature