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Corporate bond default risk: A 150-year perspective · Study

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ArticleCorporate bond default risk: A 150-year perspective

Kay Giesecke2011

Article2011

Corporate bond default risk: A 150-year perspective

Kay Giesecke · Francis A. Longstaff · Stephen M. Schaefer · Ilya A. Strebulaev

311 citations·0/0 files stored·Journal of Financial Economics

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Credit Risk and Financial Regulations Corporate Insolvency and Governance Financial Distress and Bankruptcy Prediction

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References

1973The Pricing of Options and Corporate Liabilities 1993Common risk factors in the returns on stocks and bonds 1968FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY 1973Theory of Rational Option Pricing 1980Financial Ratios and the Probabilistic Prediction of Bankruptcy 1966Financial Ratios As Predictors of Failure 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates 2001Forecasting Bankruptcy More Accurately: A Simple Hazard Model

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2021Environmental, social and governance disclosure and default risk 2014Size Anomalies in U.S. Bank Stock Returns 2018Exploring the sources of default clustering 2022Bank Market Power and Monetary Policy Transmission: Evidence from a Structural Estimation 2011Credit Risk and Disaster Risk 2014Financial Crises and Risk Premia

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2010Corporate Bond Default Risk: A 150-Year Perspectivereport · 34 shared references 2013Pricing Credit Default Swaps with Observable Covariatesarticle · 19 shared references 2018An empirical comparison of credit spreads between the bond market and the credit default swap marketarticle · 19 shared references 2013EXAMINING WHAT BEST EXPLAINS CORPORATE CREDIT RISK: ACCOUNTING-BASED VERSUS MARKET-BASED MODELSarticle · 17 shared references 2021Modelling of Chinese corporate bond default – A machine learning approacharticle · 17 shared references 2016Credit Ratings and Credit Risk: Is One Measure Enough?article · 16 shared references

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Year2011

Typearticle

Published2011-07-05

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations311

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.1016/j.jfineco.2011.01.011

openalex_workW2166077680

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2012

A Market-Based Study of the Cost of Default

2020Bank Market Power and Monetary Policy Transmission: Evidence from a Structural Estimation