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Interaction of credit and liquidity risks: Modelling and valuation · Study

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ArticleInteraction of credit and liquidity risks: Modelling and valuation

Harry Zheng2005

Article2005

Interaction of credit and liquidity risks: Modelling and valuation

22 citations·0/0 files stored·Journal of Banking & Finance

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Stochastic processes and financial applications Banking stability, regulation, efficiency Credit Risk and Financial Regulations

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References

1973The Pricing of Options and Corporate Liabilities 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*2016“Options, Futures, and Other Derivatives”2003Options, Futures and Other Derivatives 1993Dynamic Asset Pricing Theory.1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates 1999Modeling Term Structures of Defaultable Bonds 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS

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2008Jump liquidity risk and its impact on CVaR 2009Did the repeated debt ceiling controversies embed default risk in US Treasury securities?

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2005Credit risk modeling with affine processesarticle · 14 shared references 2009CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISKarticle · 13 shared references 2004Forecasting Default in the Face of Uncertaintyarticle · 13 shared references 2005Default and informationarticle · 12 shared references 2005Dynamic asset pricing theory with uncertain time-horizonarticle · 12 shared references 2006CREDIT RISK MODELS II: STRUCTURAL MODELSpreprint · 12 shared references

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Year2005

Typearticle

Published2005-06-28

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations22

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jbankfin.2005.04.026

openalex_workW2164296552

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