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Determinants of the Ratings and Yields on Corporate Bonds: Tests of the Contingent Claims Model
1 references·15 citing·40 second hop
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this work references cited by second hop

References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited

Cited by

  • 2012Reduced‐Form versus Structural Models of Credit Risk: A Case Study of Three Models73 cited
  • 2011Effects of earnings management on bank cost of debt54 cited
  • 2018Investor tastes: Implications for asset pricing in the public debt market40 cited
  • 2019Testing Merton’s Model for Credit Spreads on Zero-Coupon Bonds40 cited
  • 2002Measuring Integrated Market and Credit Risk in Bank Portfolios: An Application to a Set of Hypothetical Banks Operating in South Africa39 cited
  • 2009Estimating default barriers from market information38 cited
  • 2016Nonparametric machine learning models for predicting the credit default swaps: An empirical study37 cited
  • 2015Can Structural Models Price Default Risk? Evidence from Bond and Credit Derivative Markets37 cited
  • 2014The Sovereign Effect on Bank Credit Ratings36 cited
  • 2000A NOTE ON RISKY BOND VALUATION31 cited
  • 2011Calibrating structural models: a new methodology based on stock and credit default swap data26 cited
  • 1994THE REGULATION EFFECT OF CREDIT RATINGS ON BOND INTEREST YIELD: THE CASE OF JUNK BONDS26 cited
  • 2011The Detection and Dynamics of Financial Distress*25 cited

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  • 2004Financial Determinants of Corporate Bond Ratings: An Examination of Hotel and Casino Firms25 cited
  • 2004An Option-Based Approach to Bank Vulnerabilities in Emerging Markets25 cited