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Modeling Sovereign Yield Spreads: A Case Study of Russian Debt
16 references·16 citing·26 second hopsampled
Modeling Sovereign Yield Spreads: A Case Study of Russian Debt (2001)Modeling Sovereign Yield Spreads: A Case …A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A General Version of the Fund…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Term Premia and Interest Rate Forecasts in Affine Models (2002)Term Premia and Interest Rate…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Specification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…On cox processes and credit risky securities (1998)On cox processes and credit r…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…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 …A general version of the fundamental theorem of asset pricing (1994)A general version of the fund…Dynamic Capital Structure Choice: Theory and Tests (1989)Dynamic Capital Structure Cho…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Debt with Potential Repudiation: Theoretical and Empirical Analysis (1981)Debt with Potential Repudiati…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…Exchange Rates and Sovereign Risk (2021)Exchange Rates and Sovereign …Credit default swaps and the market for sovereign debt (2014)Credit default swaps and the …Political Uncertainty and Public Financing Costs: Evidence from U.S. Municipal Bond Markets (2012)Political Uncertainty and Pub…The Dynamics of Sovereign Credit Risk (2011)The Dynamics of Sovereign Cre…The Dynamic Pricing of Sovereign Risk in Emerging Markets: Fundamentals and Risk Aversion (2011)The Dynamic Pricing of Sovere…Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe (2011)Systemic Sovereign Credit Ris…Sovereign Risk Premia (2011)Sovereign Risk PremiaWhy Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle (2010)Why Does the Treasury Issue T…A model of asset pricing under country risk (2009)A model of asset pricing unde…Why Do Emerging Economies Borrow Short Term? (2007)Why Do Emerging Economies Bor…The Impact of Collateralization on Swap Rates (2007)The Impact of Collateralizati…A ratings‐based approach to measuring sovereign risk (2007)A ratings‐based approach to m…Empirical reverse engineering of the pricing kernel (2003)Empirical reverse engineering…PRICING COUPON‐BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS (2002)PRICING COUPON‐BOND OPTIONS A…Modeling Expected Return on Defaultable Bonds (2002)Modeling Expected Return on D…The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads (2001)The Market Price of Credit Ri…The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Defaultable debt, interest rates and the current account (2005)Default Risk and Income Fluctuations in Emerging Economies (2007)How Sovereign Is Sovereign Credit Risk? (2011)An equilibrium characterization of the term structure (1977)Prospect Theory and Asset Prices (2001)Forecasting the Term Structure of Government Bond Yields (2003)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)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)Optimum consumption and portfolio rules in a continuous-time model (1971)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)A Jump-Diffusion Model for Option Pricing (2002)The distribution of realized stock return volatility (2001)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)
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References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1981Debt with Potential Repudiation: Theoretical and Empirical Analysis2,611 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 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
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 2002Term Premia and Interest Rate Forecasts in Affine Models1,581 cited
  • 1989Dynamic Capital Structure Choice: Theory and Tests1,572 cited
  • 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1,568 cited
  • 1994A general version of the fundamental theorem of asset pricing1,447 cited

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  • 1998On cox processes and credit risky securities1,213 cited
  • Cited by

    • 2011Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe138 cited
    • 2007The Impact of Collateralization on Swap Rates126 cited
    • 2021Exchange Rates and Sovereign Risk108 cited
    • 2002PRICING COUPON‐BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS108 cited
    • 2011Sovereign Risk Premia90 cited
    • 2007Why Do Emerging Economies Borrow Short Term?74 cited
    • 2010Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle73 cited
    • 2011The Dynamic Pricing of Sovereign Risk in Emerging Markets: Fundamentals and Risk Aversion72 cited
    • 2001The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads68 cited
    • 2002Modeling Expected Return on Defaultable Bonds63 cited
    • 2007A ratings‐based approach to measuring sovereign risk60 cited
    • 2012Political Uncertainty and Public Financing Costs: Evidence from U.S. Municipal Bond Markets59 cited
    • 2011The Dynamics of Sovereign Credit Risk56 cited
    • 2014Credit default swaps and the market for sovereign debt50 cited
    • 2009A model of asset pricing under country risk49 cited
    • 2003Empirical reverse engineering of the pricing kernel49 cited