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The relationship between risk-neutral and actual default probabilities: the credit risk premium
16 references·1 citing·31 second hop
The relationship between risk-neutral and actual default probabilities: the credit risk premium (2016)The relationship between risk-neutral and…How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)How Much of the Corporate-Tre…Forecasting Default with the Merton Distance to Default Model (2008)Forecasting Default with the …Risk management and financial institutions (2006)Risk management and financial…Structural Models of Corporate Bond Pricing: An Empirical Analysis (2004)Structural Models of Corporat…Is Default Event Risk Priced in Corporate Bonds? (2004)Is Default Event Risk Priced …Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Corporate Yield Spreads: Defa…The Determinants of Credit Spread Changes (2001)The Determinants of Credit Sp…Explaining the Rate Spread on Corporate Bonds (2001)Explaining the Rate Spread on…Stability of rating transitions (2000)Stability of rating transitio…Estimating the Price of Default Risk (1999)Estimating the Price of Defau…A Markov Model for the Term Structure of Credit Risk Spreads (1997)A Markov Model for the Term S…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…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…FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)FINANCIAL RATIOS, DISCRIMINAN…On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures (1960)On Transforming a Certain Cla…Why European banks are less profitable than U.S. banks: A decomposition approach (2018)Why European banks are less p…Forecasting Bankruptcy More Accurately: A Simple Hazard Model (2001)The Economics of Structured Finance (2009)Credit Spreads and Business Cycle Fluctuations (2012)Predictably Unequal? The Effects of Machine Learning on Credit Markets (2021)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Liquidity Risk and Expected Stock Returns (2003)The Aggregate Demand for Treasury Debt (2012)The effect of pro-environmental preferences on bond prices: Evidence from green bonds (2018)Optimum consumption and portfolio rules in a continuous-time model (1971)An equilibrium characterization of the term structure (1977)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)Common risk factors in the returns on stocks and bonds (1993)Equity Volatility and Corporate Bond Yields (2003)Corporate Yield Spreads and Bond Liquidity (2007)The cost of capital, corporation finance and the theory of investment (2008)Financial Ratios and the Probabilistic Prediction of Bankruptcy (1980)Managerial incentives and risk-taking☆ (2005)How does financial reporting quality relate to investment efficiency? (2009)Arbitrage Theory in Continuous Time (1998)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Prospect Theory and Asset Prices (2001)Liquidity and Asset Prices (2006)The Illiquidity of Corporate Bonds (2011)
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References

  • 1968FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY14,869 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates2,752 cited
  • 2001The Determinants of Credit Spread Changes2,253 cited
  • 2008Forecasting Default with the Merton Distance to Default Model2,220 cited
  • 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market2,087 cited
  • 2001Explaining the Rate Spread on Corporate Bonds1,580 cited
  • 1997A Markov Model for the Term Structure of Credit Risk Spreads1,476 cited
  • 2012How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk?1,000 cited
  • 2004Structural Models of Corporate Bond Pricing: An Empirical Analysis926 cited
  • 2006Risk management and financial institutions781 cited
  • 1999Estimating the Price of Default Risk724 cited
  • 1960On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures722 cited
  • 2004Is Default Event Risk Priced in Corporate Bonds?

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566 cited
  • 2000Stability of rating transitions562 cited
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    • 2018Why European banks are less profitable than U.S. banks: A decomposition approach37 cited