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The Market Price of Credit Risk: The Impact of Asymmetric Information
16 references·1 citing·28 second hop
The Market Price of Credit Risk: The Impact of Asymmetric Information (2003)The Market Price of Credit Risk: The Impa…A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A General Version of the Fund…Measuring Default Risk Premia from Default Swap Rates and EDFs (2007)Measuring Default Risk Premia…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Default and information (2005)Default and informationIs Default Event Risk Priced in Corporate Bonds? (2004)Is Default Event Risk Priced …Credit Risk: Modeling, Valuation and Hedging (2004)Credit Risk: Modeling, Valuat…Explaining the Rate Spread on Corporate Bonds (2001)Explaining the Rate Spread on…On Models of Default Risk (2000)On Models of Default RiskModeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…A Remark on default risk models (1999)A Remark on default risk mode…A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)A Simple Approach to Valuing …Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Corporate Debt Value, Bond Co…A general version of the fundamental theorem of asset pricing (1994)A general version of the fund…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)VALUING CORPORATE SECURITIES:…ABSOLUTELY CONTINUOUS COMPENSATORS (2011)ABSOLUTELY CONTINUOUS COMPENS…The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Theory of Rational Option Pricing (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The Determinants of Credit Spread Changes (2001)A Theory of the Term Structure of Interest Rates (1985)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Default Risk in Equity Returns (2004)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Theory of rational option pricing (2005)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Arbitrage Theory in Continuous Time (2004)Brownian Motion and Stochastic Calculus (2007)Tails, Fears, and Risk Premia (2011)An equilibrium characterization of the term structure (1977)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)The theory and practice of corporate finance: evidence from the field (2001)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)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)Arbitrage Theory in Continuous Time (1998)
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References

  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1994Corporate Debt Value, Bond Covenants, and Optimal Capital Structure2,732 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS2,383 cited
  • 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt2,090 cited
  • 2001Explaining the Rate Spread on Corporate Bonds1,580 cited
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  • 2004Credit Risk: Modeling, Valuation and Hedging1,064 cited
  • 2004Is Default Event Risk Priced in Corporate Bonds?566 cited
  • 2007Measuring Default Risk Premia from Default Swap Rates and EDFs416 cited
  • 2000On Models of Default Risk238 cited
  • 1999A Remark on default risk models236 cited
  • 2005

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Default and information
195 cited

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  • 2011ABSOLUTELY CONTINUOUS COMPENSATORS19 cited