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Investigating the Sources of Default Risk: Lessons from Empirically Evaluating Credit Risk Models
16 references·6 citing·36 second hop
Investigating the Sources of Default Risk: Lessons from Empirically Evaluating Credit Risk Models (2001)Investigating the Sources of Default Risk…Structural Models of Corporate Bond Pricing: An Empirical Analysis (2004)Structural Models of Corporat…Forecasting Bankruptcy More Accurately: A Simple Hazard Model (2001)Forecasting Bankruptcy More A…Explaining the Rate Spread on Corporate Bonds (2001)Explaining the Rate Spread on…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…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…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 …The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model (1992)Interest Rate Volatility and …Common Factors Affecting Bond Returns (1991)Common Factors Affecting Bond…The Determinants of Capital Structure Choice (1988)The Determinants of Capital S…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…Understanding the Risk of China's Local Government Debts and its Linkage with Property Markets (2015)Understanding the Risk of Chi…Restructuring Risk in Credit Default Swaps: An Empirical Analysis (2006)Restructuring Risk in Credit …An Empirical Study of Structural Credit Risk Models Using Stock and Bond Prices (2004)An Empirical Study of Structu…Optimal Investment with Default Risk (2003)Optimal Investment with Defau…Integrating Market Risk and Credit Risk: A Dynamic Asset Allocation Perspective (2002)Integrating Market Risk and C…The Valuation of Corporate Liabilities: Theory and Tests (2001)The Valuation of Corporate Li…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)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)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)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Significance tests and goodness of fit in the analysis of covariance structures. (1980)Corporate financing and investment decisions when firms have information that investors do not have (1984)Firms, Contracts, and Financial Structure (1995)A Survey of Corporate Governance (1997)The theory and practice of corporate finance: evidence from the field (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Risk, Return, and Equilibrium: Empirical Tests (1973)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Stochastic Differential Equations and Diffusion Processes (1983)Term Premia and Interest Rate Forecasts in Affine Models (2002)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Basel Committee On Banking Supervision (2010)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Financial Ratios and the Probabilistic Prediction of Bankruptcy (1980)Methodological Issues Related to the Estimation of Financial Distress Prediction Models (1984)Forecasting Default with the Merton Distance to Default Model (2008)In Search of Distress Risk (2008)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Credit Spreads and Business Cycle Fluctuations (2012)
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References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1988The Determinants of Capital Structure Choice6,108 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 2001Forecasting Bankruptcy More Accurately: A Simple Hazard Model2,655 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 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
  • 1991Common Factors Affecting Bond Returns1,796 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 2001Explaining the Rate Spread on Corporate Bonds1,580 cited
  • 1997A Markov Model for the Term Structure of Credit Risk Spreads1,476 cited
  • 1998On cox processes and credit risky securities1,213 cited
  • 1992Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model977 cited
  • 2004Structural Models of Corporate Bond Pricing: An Empirical Analysis926 cited

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1997
An Econometric Model of the Term Structure of Interest-Rate Swap Yields
793 cited

Cited by

  • 2015Understanding the Risk of China's Local Government Debts and its Linkage with Property Markets62 cited
  • 2001The Valuation of Corporate Liabilities: Theory and Tests33 cited
  • 2004An Empirical Study of Structural Credit Risk Models Using Stock and Bond Prices32 cited
  • 2006Restructuring Risk in Credit Default Swaps: An Empirical Analysis26 cited
  • 2003Optimal Investment with Default Risk23 cited
  • 2002Integrating Market Risk and Credit Risk: A Dynamic Asset Allocation Perspective20 cited