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Interaction of credit and liquidity risks: Modelling and valuation
16 references·2 citing·30 second hop
Interaction of credit and liquidity risks: Modelling and valuation (2005)Interaction of credit and liquidity risks…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)How Much of the Corporate-Tre…Credit Risk: Modeling, Valuation and Hedging (2004)Credit Risk: Modeling, Valuat…Options, Futures and Other Derivatives (2003)Options, Futures and Other De…Credit Risk : Pricing, Measurement, and Management (2003)Credit Risk : Pricing, Measur…Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…The term structure of credit spreads with jump risk (2001)The term structure of credit …Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Term Structures of Credit Spr…Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Pricing Derivatives on Financ…A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)A Simple Approach to Valuing …Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.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…On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)On the Pricing of Corporate D…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Did the repeated debt ceiling controversies embed default risk in US Treasury securities? (2009)Did the repeated debt ceiling…Jump liquidity risk and its impact on CVaR (2008)Jump liquidity risk and its i…An Introduction to Copulas (1999)Coherent Measures of Risk (1999)The distribution of realized stock return volatility (2001)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Pair-copula constructions of multiple dependence (2007)The Econometrics of Financial Markets (2012)Theory of Rational Option Pricing (1973)The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The Determinants of Credit Spread Changes (2001)A Theory of the Term Structure of Interest Rates (1985)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Default Risk in Equity Returns (2004)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)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)Prospect theory: An analysis of decision under risk (1988)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)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)An equilibrium characterization of the term structure (1977)The cost of capital, corporation finance and the theory of investment (2008)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Arbitrage Theory in Continuous Time (1998)A critical review on supply chain risk – Definition, measure and modeling (2014)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 2003Options, Futures and Other Derivatives3,864 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates2,752 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 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
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 1995Pricing Derivatives on Financial Securities Subject to Credit Risk1,934 cited
  • 2001Term Structures of Credit Spreads with Incomplete Accounting Information1,321 cited
  • 2004Credit Risk: Modeling, Valuation and Hedging1,064 cited
  • 2012How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk?1,000 cited
  • 2003Credit Risk : Pricing, Measurement, and Management587 cited

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2001
The term structure of credit spreads with jump risk
511 cited

Cited by

  • 2008Jump liquidity risk and its impact on CVaR20 cited
  • 2009Did the repeated debt ceiling controversies embed default risk in US Treasury securities?19 cited