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Separating the Components of Default Risk: A Derivative-Based Approach
16 references·5 citing·31 second hop
Separating the Components of Default Risk: A Derivative-Based Approach (2014)Separating the Components of Default Risk…How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)How Much of the Corporate-Tre…Structural Models of Corporate Bond Pricing: An Empirical Analysis (2004)Structural Models of Corporat…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 Markov Model for the Term Structure of Credit Risk Spreads (1997)A Markov Model for the Term S…A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)A Simple Approach to Valuing …Troubled debt restructurings (1990)Troubled debt restructuringsBankruptcy, boards, banks, and blockholders (1990)Bankruptcy, boards, banks, an…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…Bankruptcy Costs: Some Evidence (1977)Bankruptcy Costs: Some Eviden…BANKRUPTCY COSTS: SOME EVIDENCE (1977)BANKRUPTCY COSTS: SOME EVIDEN…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…On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)On the Pricing of Corporate D…FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)FINANCIAL RATIOS, DISCRIMINAN…A Closed‐Form Formula for Pricing European Options With Stochastic Volatility, Regime Switching, and Stochastic Market Liquidity (2025)A Closed‐Form Formula for Pri…Analytically pricing foreign exchange options under a three-factor stochastic volatility and interest rate model: A full correlation structure (2024)Analytically pricing foreign …Pricing foreign exchange options under a hybrid Heston-Cox-Ingersoll-Ross model with regime switching (2021)Pricing foreign exchange opti…The Term Structure of Expected Recovery Rates (2018)The Term Structure of Expecte…Is recovery risk priced? (2013)Is recovery risk priced?CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Time Series Analysis: Forecasting and Control (1977)Threshold heteroskedastic models (1994)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)The distribution of realized stock return volatility (2001)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)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Affine processes and applications in finance (2003)Credit Risk: Modeling, Valuation and Hedging (2004)Brownian Motion and Stochastic Calculus (2007)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)Optimum consumption and portfolio rules in a continuous-time model (1971)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)The cost of capital, corporation finance and the theory of investment (2008)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)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)Arbitrage Theory in Continuous Time (1998)Explaining the Rate Spread on Corporate Bonds (2001)
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References

  • 1968FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY14,869 cited
  • 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
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates2,752 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt2,090 cited
  • 1997A Markov Model for the Term Structure of Credit Risk Spreads1,476 cited
  • 1998On cox processes and credit risky securities1,213 cited
  • 1990Troubled debt restructurings1,096 cited
  • 1977BANKRUPTCY COSTS: SOME EVIDENCE1,096 cited
  • 1990Bankruptcy, boards, banks, and blockholders1,087 cited
  • 2012How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk?1,000 cited
  • 2004Structural Models of Corporate Bond Pricing: An Empirical Analysis926 cited

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  • 1977Bankruptcy Costs: Some Evidence879 cited
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    • 2021Pricing foreign exchange options under a hybrid Heston-Cox-Ingersoll-Ross model with regime switching37 cited
    • 2013Is recovery risk priced?33 cited
    • 2024Analytically pricing foreign exchange options under a three-factor stochastic volatility and interest rate model: A full correlation structure30 cited
    • 2018The Term Structure of Expected Recovery Rates30 cited
    • 2025A Closed‐Form Formula for Pricing European Options With Stochastic Volatility, Regime Switching, and Stochastic Market Liquidity24 cited