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Estimating default barriers from market information
16 references·3 citing·29 second hop
Estimating default barriers from market information (2009)Estimating default barriers from market i…Theory of rational option pricing (2005)Theory of rational option pri…Structural Models of Corporate Bond Pricing: An Empirical Analysis (2004)Structural Models of Corporat…Timing, investment opportunities, managerial discretion, and the security issue decision (1996)Timing, investment opportunit…Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads (1996)Optimal Capital Structure, En…The Maturity Structure of Corporate Debt (1995)The Maturity Structure of Cor…A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)A Simple Approach to Valuing …A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)A Simple Approach to Valuing …MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT (1994)MAXIMUM LIKELIHOOD ESTIMATION…Pricing Risk‐Adjusted Deposit Insurance: An Option‐Based Model (1986)Pricing Risk‐Adjusted Deposit…Contingent Claims Analysis of Corporate Capital Structures: an Empirical Investigation (1984)Contingent Claims Analysis of…Valuing Corporate Securities: Some Effects of Bond Indenture Provisions (1976)Valuing Corporate Securities:…VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)VALUING CORPORATE SECURITIES:…On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)On the Pricing of Corporate D…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)FINANCIAL RATIOS, DISCRIMINAN…A barrier options approach to modeling project failure: The case of hydrogen fuel infrastructure (2015)A barrier options approach to…Calibrating structural models: a new methodology based on stock and credit default swap data (2011)Calibrating structural models…Bayesian analysis of structural credit risk models with microstructure noises (2010)Bayesian analysis of structur…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The Determinants of Credit Spread Changes (2001)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers (1986)Investor Psychology and Security Market Under‐ and Overreactions (1998)Chapter 18 A survey of behavioral finance (2003)The choice among bank debt, non-bank private debt, and public debt: evidence from new corporate borrowings (2003)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Determinants of corporate borrowing (1977)The Determinants of Capital Structure Choice (1988)Insiders and Outsiders: The Choice between Informed and Arm's-Length Debt (1992)What Do We Know about Capital Structure? Some Evidence from International Data (1995)The determinants and implications of corporate cash holdings (1999)An equilibrium characterization of the term structure (1977)Default Risk in Equity Returns (2004)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)The cost of capital, corporation finance and the theory of investment (2008)The theory and practice of corporate finance: evidence from the field (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Financial Ratios and the Probabilistic Prediction of Bankruptcy (1980)Managerial incentives and risk-taking☆ (2005)How does financial reporting quality relate to investment efficiency? (2009)Option pricing: A simplified approach (1979)
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References

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  • 1968FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY14,869 cited
  • 1973Theory of Rational Option Pricing8,060 cited
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  • 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates2,752 cited
  • 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS2,383 cited
  • 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt2,090 cited
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  • 1976Valuing Corporate Securities: Some Effects of Bond Indenture Provisions461 cited
  • 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt

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406 cited
  • 1994MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT391 cited
  • Cited by

    • 2010Bayesian analysis of structural credit risk models with microstructure noises36 cited
    • 2015A barrier options approach to modeling project failure: The case of hydrogen fuel infrastructure31 cited
    • 2011Calibrating structural models: a new methodology based on stock and credit default swap data26 cited