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The Jarrow/Turnbull default risk model—Evidence from the German market
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The Jarrow/Turnbull default risk model—Evidence from the German market (2006)The Jarrow/Turnbull default risk model—Ev…How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)How Much of the Corporate-Tre…Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Term Structures of Credit Spr…Explaining the Rate Spread on Corporate Bonds (2001)Explaining the Rate Spread on…Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…Estimating the Price of Default Risk (1999)Estimating the Price of Defau…The Relation Between Treasury Yields and Corporate Bond Yield Spreads (1998)The Relation Between Treasury…On cox processes and credit risky securities (1998)On cox processes and credit r…An Econometric Model of the Term Structure of Interest-Rate Swap Yields (1997)An Econometric Model of the T…A Markov Model for the Term Structure of Credit Risk Spreads (1997)A Markov Model for the Term S…Almost Everything You Wanted to Know about Recoveries on Defaulted Bonds (1996)Almost Everything You Wanted …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 …Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…Liquidity, Maturity, and the Yields on U.S. Treasury Securities (1991)Liquidity, Maturity, and the …Common Factors Affecting Bond Returns (1991)Common Factors Affecting Bond…Contingent Claims Analysis of Corporate Capital Structures: an Empirical Investigation (1984)Contingent Claims Analysis of…Pricing default swaps: Empirical evidence (2005)Pricing default swaps: Empiri…The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Determinants of Credit Spread Changes (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Option pricing when underlying stock returns are discontinuous (1976)Brownian Motion and Stochastic Calculus (2007)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)An equilibrium characterization of the term structure (1977)Default Risk in Equity Returns (2004)Martingales and stochastic integrals in the theory of continuous trading (1981)Stochastic Differential Equations and Diffusion Processes (1983)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Common risk factors in the returns on stocks and bonds (1993)Forecasting Default with the Merton Distance to Default Model (2008)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Credit Spreads and Business Cycle Fluctuations (2012)Default Risk and Income Fluctuations in Emerging Economies (2008)The effect of pro-environmental preferences on bond prices: Evidence from green bonds (2018)
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References

  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt2,119 cited
  • 1995Pricing Derivatives on Financial Securities Subject to Credit Risk2,029 cited
  • 1991Common Factors Affecting Bond Returns1,796 cited
  • 2001Explaining the Rate Spread on Corporate Bonds1,580 cited
  • 1997A Markov Model for the Term Structure of Credit Risk Spreads1,476 cited
  • 2001Term Structures of Credit Spreads with Incomplete Accounting Information1,321 cited
  • 1998On cox processes and credit risky securities1,213 cited
  • 2012How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk?1,000 cited
  • 1997An Econometric Model of the Term Structure of Interest-Rate Swap Yields793 cited
  • 1998The Relation Between Treasury Yields and Corporate Bond Yield Spreads778 cited
  • 1999Estimating the Price of Default Risk724 cited
  • 1984Contingent Claims Analysis of Corporate Capital Structures: an Empirical Investigation678 cited
  • 1991Liquidity, Maturity, and the Yields on U.S. Treasury Securities

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622 cited
  • 1996Almost Everything You Wanted to Know about Recoveries on Defaulted Bonds483 cited
  • Cited by

    • 2005Pricing default swaps: Empirical evidence286 cited