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Corporate Credit Spreads under Parameter Uncertainty · Study

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PreprintCorporate Credit Spreads under Parameter Uncertainty

Arthur G. Korteweg2008

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Preprintgreen2008

Corporate Credit Spreads under Parameter Uncertainty

Arthur G. Korteweg · Nick Polson

37 citations·0/0 files stored·SSRN Electronic Journal

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Credit Risk and Financial Regulations Stochastic processes and financial applications Financial Distress and Bankruptcy Prediction

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References

1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options 2008Forecasting Default with the Merton Distance to Default Model 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt 2004Default Risk in Equity Returns 1996Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads 2002The jump-risk premia implicit in options: evidence from an integrated time-series study 2003The Impact of Jumps in Volatility and Returns

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2010Bayesian analysis of structural credit risk models with microstructure noises 2013Determinants of credit spreads: The role of ambiguity and information uncertainty 2012Unknown Unknowns: Vol-of-Vol and the Cross-Section of Stock Returns

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2008The Joint Behavior of Credit Spreads, Stock Options and Equity Returns When Investors Disagreepreprint · 14 shared references 2013Economic Uncertainty, Disagreement, and Credit Marketsarticle · 13 shared references 2008When Do Firms Default? A Study of the Default Boundarypreprint · 13 shared references 2015Using Merton model for default prediction: An empirical assessment of selected alternativesarticle · 13 shared references 2006CREDIT RISK MODELS II: STRUCTURAL MODELSpreprint · 13 shared references 2001The Valuation of Corporate Liabilities: Theory and Testspreprint · 13 shared references

Details

Year2008

Typepreprint

Published2008-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations37

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.2139/ssrn.884100

openalex_workW2147305725

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