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On the Term Structure of Default Premia in the Swap and LIBOR Markets
11 references·16 citing·37 second hop
On the Term Structure of Default Premia in the Swap and LIBOR Markets (2001)On the Term Structure of Default Premia i…Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…Estimating the Price of Default Risk (1999)Estimating the Price of Defau…The Relation Between Treasury Yields and Corporate Bond Yield Spreads (1998)The Relation Between Treasury…An Econometric Model of the Term Structure of Interest-Rate Swap Yields (1997)An Econometric Model of the T…A Markov Model for the Term Structure of Credit Risk Spreads (1997)A Markov Model for the Term S…Swap Rates and Credit Quality (1996)Swap Rates and Credit QualityA YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Using Default Rates to Model the Term Structure of Credit Risk (1994)Using Default Rates to Model …Maximum Likelihood Estimation for a Multifactor Equilibrium Model of the Term Structure of Interest Rates (1993)Maximum Likelihood Estimation…Some Empirical Estimates of the Risk Structure of Interest Rates (1989)Some Empirical Estimates of t…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…The CDS‐bond basis (2018)The CDS‐bond basisThe impact of innovation: Evidence from corporate bond exchange-traded funds (ETFs) (2017)The impact of innovation: Evi…An Explanation of Negative Swap Spreads: Demand for Duration from Underfunded Pension Plans (2016)An Explanation of Negative Sw…Do Central Bank Liquidity Facilities Affect Interbank Lending Rates? (2013)Do Central Bank Liquidity Fac…The Term Structure of Interbank Risk (2012)The Term Structure of Interba…Can interest rate volatility be extracted from the cross section of bond yields?☆ (2009)Can interest rate volatility …A multi-quality model of interest rates (2009)A multi-quality model of inte…Identification of Maximal Affine Term Structure Models (2008)Identification of Maximal Aff…The Impact of Collateralization on Swap Rates (2007)The Impact of Collateralizati…The Demand for Treasury Debt (2007)The Demand for Treasury DebtThe Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks* (2006)The Market Price of Risk in I…Correlated Default Risk (2006)Correlated Default RiskA Survey of Cyclical Effects in Credit Risk Measurement Models (2005)A Survey of Cyclical Effects …Understanding the Role of Recovery in Default Risk Models: Empirical Comparisons and Implied Recovery Rates (2003)Understanding the Role of Rec…Modeling Sovereign Yield Spreads: A Case Study of Russian Debt (2001)Modeling Sovereign Yield Spre…An Econometric Model of the Yield Curve with Macroeconomic Jump Effects (2001)An Econometric Model of the Y…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)A Theory of the Term Structure of Interest Rates (1985)Common Factors Affecting Bond Returns (1991)A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables (1999)The Term Structure of Real Rates and Expected Inflation (2007)A New Perspective on Gaussian Dynamic Term Structure Models (2010)The Pricing of Options and Corporate Liabilities (1973)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)An equilibrium characterization of the term structure (1977)Prospect Theory and Asset Prices (2001)Forecasting the Term Structure of Government Bond Yields (2003)A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)Do Credit Spreads Reflect Stationary Leverage Ratios? (2001)A Preferred-Habitat Model of the Term Structure of Interest Rates (2009)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing when underlying stock returns are discontinuous (1976)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)Modeling Sovereign Yield Spreads: A Case Study of Russian Debt (2003)An Empirical Analysis of the Dynamic Relationship between Investment Grade Bonds and Credit Default Swaps (2004)Stochastic Integration and Differential Equations (2005)Affine Term Structure Models (2010)The Slope of the Credit Yield Curve for Speculative‐Grade Issuers (1999)How Much of Corporate-Treasury Yield Spread Is Due to Credit Risk?: A New Calibration Approach (2003)Corporate Social Responsibility: Is it Rewarded by the Corporate Bond Market? A Critical Note (2010)Arbitrage Theory in Continuous Time (1998)Explaining the Rate Spread on Corporate Bonds (2001)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Affine Term Structure Models and the Forward Premium Anomaly (2001)Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads (2008)
this work references cited by second hop

References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1997A Markov Model for the Term Structure of Credit Risk Spreads1,476 cited
  • 1997An Econometric Model of the Term Structure of Interest-Rate Swap Yields793 cited
  • 1998The Relation Between Treasury Yields and Corporate Bond Yield Spreads778 cited
  • 1999Estimating the Price of Default Risk724 cited
  • 1993Maximum Likelihood Estimation for a Multifactor Equilibrium Model of the Term Structure of Interest Rates552 cited
  • 1996Swap Rates and Credit Quality480 cited
  • 1994Using Default Rates to Model the Term Structure of Credit Risk312 cited
  • 1989Some Empirical Estimates of the Risk Structure of Interest Rates258 cited

Cited by

  • 2006The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks*193 cited
  • 2012The Term Structure of Interbank Risk193 cited
  • 2017The impact of innovation: Evidence from corporate bond exchange-traded funds (ETFs)166 cited
  • 2001Modeling Sovereign Yield Spreads: A Case Study of Russian Debt

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146 cited
  • 2005A Survey of Cyclical Effects in Credit Risk Measurement Models135 cited
  • 2006Correlated Default Risk133 cited
  • 2016An Explanation of Negative Swap Spreads: Demand for Duration from Underfunded Pension Plans129 cited
  • 2007The Impact of Collateralization on Swap Rates126 cited
  • 2001An Econometric Model of the Yield Curve with Macroeconomic Jump Effects124 cited
  • 2003Understanding the Role of Recovery in Default Risk Models: Empirical Comparisons and Implied Recovery Rates123 cited
  • 2018The CDS‐bond basis122 cited
  • 2009Can interest rate volatility be extracted from the cross section of bond yields?☆121 cited
  • 2008Identification of Maximal Affine Term Structure Models120 cited
  • 2007The Demand for Treasury Debt119 cited
  • 2009A multi-quality model of interest rates105 cited
  • 2013Do Central Bank Liquidity Facilities Affect Interbank Lending Rates?104 cited