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Valuing Corporate Liabilities When the Default Threshold is Not an Absorbing Barrier
16 references·6 citing·36 second hop
Valuing Corporate Liabilities When the Default Threshold is Not an Absorbing Barrier (2002)Valuing Corporate Liabilities When the De…Capital Structure and Asset Prices: Some Effects of Bankruptcy Procedures (2004)Capital Structure and Asset P…Debt Valuation, Renegotiation, and Optimal Dividend Policy (2000)Debt Valuation, Renegotiation…How Long Do Junk Bonds Spend in Default? (1999)How Long Do Junk Bonds Spend …Term structure modelling of defaultable bonds (1998)Term structure modelling of d…Strategic Debt Service (1997)Strategic Debt ServiceBrownian Excursions and Parisian Barrier Options (1997)Brownian Excursions and Paris…Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads (1996)Optimal Capital Structure, En…Design and Valuation of Debt Contracts (1996)Design and Valuation of Debt …Postbankruptcy Performance and Management Turnover (1995)Postbankruptcy Performance an…An Empirical Examination of Prepackaged Bankruptcy (1995)An Empirical Examination of P…A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)A Simple Approach to Valuing …Do Seniority Provisions Protect Bondholders' Investments? (1994)Do Seniority Provisions Prote…Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Corporate Debt Value, Bond Co…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…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Liquidation risk in the presence of Chapters 7 and 11 of the US bankruptcy code (2014)Liquidation risk in the prese…Inside debt renegotiation: Optimal debt reduction, timing, and the number of rounds (2014)Inside debt renegotiation: Op…Resolution of financial distress under Chapter 11 (2012)Resolution of financial distr…A structural model of debt pricing with creditor-determined liquidation (2010)A structural model of debt pr…CREDIT RISK MODELS II: STRUCTURAL MODELS (2006)CREDIT RISK MODELS II: STRUCT…Liquidation Triggers and the Valuation of Equity and Debt (2005)Liquidation Triggers and the …Theory of Rational Option Pricing (1973)The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)The Determinants of Credit Spread Changes (2001)Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers (1986)Outside directors and CEO turnover (1988)Managerial discretion and optimal financing policies (1990)Transactions Costs and Capital Structure Choice: Evidence from Financially Distressed Firms (1997)Is Corporate Governance Different for Bank Holding Companies? (2003)Labor unemployment risk and corporate financing decisions (2012)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)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)Determinants of corporate borrowing (1977)Perfect Equilibrium in a Bargaining Model (1982)Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms (2009)Financial distress and bankruptcy prediction among listed companies using accounting, market and macroeconomic variables (2013)Finance and Economics Discussion Series (2022)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The theory and practice of corporate finance: evidence from the field (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)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)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Can Managerial Discretion Explain Observed Leverage Ratios? (2003)Liquidity and Credit Risk (2006)Is Default Risk Negatively Related to Stock Returns? (2010)Corporate financing and investment decisions when firms have information that investors do not have (1984)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Valuing Credit Default Swaps II (2001)Term Structure Dynamics in Theory and Reality (2003)Market conditions, default risk and credit spreads (2009)
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
  • 1994Corporate Debt Value, Bond Covenants, and Optimal Capital Structure2,732 cited
  • 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS2,383 cited
  • 1996Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads1,962 cited
  • 1996Design and Valuation of Debt Contracts591 cited
  • 1995Postbankruptcy Performance and Management Turnover569 cited
  • 1997Strategic Debt Service523 cited
  • 2000Debt Valuation, Renegotiation, and Optimal Dividend Policy417 cited
  • 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt406 cited
  • 1997Brownian Excursions and Parisian Barrier Options255 cited
  • 2004Capital Structure and Asset Prices: Some Effects of Bankruptcy Procedures218 cited
  • 1998Term structure modelling of defaultable bonds119 cited
  • 1999How Long Do Junk Bonds Spend in Default?104 cited
  • 1995An Empirical Examination of Prepackaged Bankruptcy85 cited
  • 1994

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Do Seniority Provisions Protect Bondholders' Investments?
83 cited

Cited by

  • 2006CREDIT RISK MODELS II: STRUCTURAL MODELS43 cited
  • 2014Inside debt renegotiation: Optimal debt reduction, timing, and the number of rounds31 cited
  • 2005Liquidation Triggers and the Valuation of Equity and Debt30 cited
  • 2012Resolution of financial distress under Chapter 1129 cited
  • 2010A structural model of debt pricing with creditor-determined liquidation22 cited
  • 2014Liquidation risk in the presence of Chapters 7 and 11 of the US bankruptcy code21 cited