Article2006

Investigating the Role of Systematic and Firm‐Specific Factors in Default Risk: Lessons from Empirically Evaluating Credit Risk Models*

Gurdip Bakshi · Dilip B. Madan · Frank Xiaoling Zhang

106 citations0/0 files storedThe Journal of Business

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Credit Risk and Financial Regulations Stochastic processes and financial applications Financial Distress and Bankruptcy Prediction

Abstract

Gurdip Bakshi, Dilip Madan, Frank Xiaoling Zhang, Investigating the Role of Systematic and Firm‐Specific Factors in Default Risk: Lessons from Empirically Evaluating Credit Risk Models, The Journal of Business, Vol. 79, No. 4 (July 2006), pp. 1955-1987

Citations in this library

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References

1992The Cross-Section of Expected Stock Returns 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1988The Determinants of Capital Structure Choice 2001The Determinants of Credit Spread Changes 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market 2004Default Risk in Equity Returns 1991Common Factors Affecting Bond Returns 2001Explaining the Rate Spread on Corporate Bonds

Cited by

2012On the Relative Pricing of Long‐Maturity Index Options and Collateralized Debt Obligations 2008Individual stock-option prices and credit spreads 2005Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation 2007Advances in Mathematical Finance 2013Pricing Credit Default Swaps with Observable Covariates 2008A No-Arbitrage Analysis of Macroeconomic Determinants of the Credit Spread Term Structure 2010

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