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Swap Pricing with Two-Sided Default Risk in a Rating-Based Model
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Swap Pricing with Two-Sided Default Risk in a Rating-Based Model (2001)Swap Pricing with Two-Sided Default Risk …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…Credit Swap Valuation (1999)Credit Swap ValuationPricing the risks of default (1998)Pricing the risks of defaultOn 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…Swap Rates and Credit Quality (1996)Swap Rates and Credit QualityRecursive valuation of defaultable securities and the timing of resolution of uncertainty (1996)Recursive valuation of defaul…Pricing Credit-Sensitive Debt When Interest Rates, Credit Ratings and Credit Spreads are Stochastic (1996)Pricing Credit-Sensitive Debt…Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Pricing Derivatives on Financ…DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS1 (1995)DEFAULT RISK INSURANCE AND IN…Pricing Swap Default Risk (1994)Pricing Swap Default RiskDynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.The Default Risk of Swaps (1991)The Default Risk of SwapsStochastic Integration and Differential Equations (1990)Stochastic Integration and Di…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)The Determinants of Credit Spread Changes (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Default Risk in Equity Returns (2004)Option pricing when underlying stock returns are discontinuous (1976)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Affine processes and applications in finance (2003)Credit Risk: Modeling, Valuation and Hedging (2004)Brownian Motion and Stochastic Calculus (2007)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)Introductory Econometrics for Finance (2008)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Structural Models of Corporate Bond Pricing: An Empirical Analysis (2004)Corporate bond liquidity before and after the onset of the subprime crisis (2011)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)Modeling Sovereign Yield Spreads: A Case Study of Russian Debt (2003)An Empirical Analysis of the Dynamic Relationship between Investment Grade Bonds and Credit Default Swaps (2004)Stochastic Integration and Differential Equations (2005)Affine Term Structure Models (2010)An equilibrium characterization of the term structure (1977)Estimating the Price of Default Risk (1999)Affine Term Structure Models and the Forward Premium Anomaly (2001)Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads (2008)Credit Risk Modeling (2004)An Empirical Comparison of Credit Spreads between the Bond Market and the Credit Default Swap Market (2006)A framework for assessing the systemic risk of major financial institutions (2009)Arbitrage Theory in Continuous Time (1998)Explaining the Rate Spread on Corporate Bonds (2001)Over-the-Counter Markets (2004)
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References

  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 1995Pricing Derivatives on Financial Securities Subject to Credit Risk1,934 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
  • 1990Stochastic Integration and Differential Equations1,195 cited
  • 1997An Econometric Model of the Term Structure of Interest-Rate Swap Yields793 cited
  • 1999Credit Swap Valuation636 cited
  • 1996Swap Rates and Credit Quality480 cited
  • 1998Pricing the risks of default469 cited
  • 1996Pricing Credit-Sensitive Debt When Interest Rates, Credit Ratings and Credit Spreads are Stochastic249 cited
  • 1996Recursive valuation of defaultable securities and the timing of resolution of uncertainty232 cited
  • 1994Pricing Swap Default Risk210 cited
  • 1991The Default Risk of Swaps161 cited
  • 1995DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS1

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