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Understanding Aggregate Default Rates of High Yield Bonds
1 references·5 citing·19 second hop
Understanding Aggregate Default Rates of High Yield Bonds (2007)Understanding Aggregate Default Rates of …Corporate Bond Defaults and Default Rates 1970–1990 (1991)Corporate Bond Defaults and D…A Credit Spread Puzzle for Reduced-Form Models (2015)A Credit Spread Puzzle for Re…Dynamic Dependence in Corporate Credit (2013)Dynamic Dependence in Corpora…Credit Market Shocks: Evidence From Corporate Spreads and Defaults (2009)Credit Market Shocks: Evidenc…Modeling the Effect of Macroeconomic Factors on Corporate Default and Credit Rating Transitions (2006)Modeling the Effect of Macroe…Determinants of spreads on new high yield bonds of shipping companies (2003)Determinants of spreads on ne…Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)The Financial Accelerator in a Quantitative Business Cycle Framework (1998)The Determinants of Credit Spread Changes (2001)Determinants of Risk Premiums on Corporate Bonds (1959)Does Default Risk in Coupons Affect the Valuation of Corporate Bonds?: A Contingent Claims Model (1993)A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)Factors affecting the dynamics of yield premia on shipping seasoned high yield bonds (2006)Predicting corporate failure for listed shipping companies (2018)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Dynamic Conditional Correlation (2002)The Pricing of Options and Corporate Liabilities (1973)Illiquidity and stock returns: cross-section and time-series effects (2002)An application of the cox proportional hazards model to bank failure (1986)A Markov Model for the Term Structure of Credit Risk Spreads (1997)Stability of rating transitions (2000)Revisiting the High-Yield Bond Market (1992)Modeling correlated market and credit risk in fixed income portfolios (2002)MACROECONOMICS AND SOVEREIGN RISK RATINGS (2012)
this work references cited by second hop

References

  • 1991Corporate Bond Defaults and Default Rates 1970–199093 cited

Cited by

  • 2006Modeling the Effect of Macroeconomic Factors on Corporate Default and Credit Rating Transitions32 cited
  • 2003Determinants of spreads on new high yield bonds of shipping companies29 cited
  • 2013Dynamic Dependence in Corporate Credit25 cited
  • 2015A Credit Spread Puzzle for Reduced-Form Models24 cited
  • 2009Credit Market Shocks: Evidence From Corporate Spreads and Defaults12 cited

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