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Forecasting sovereign default risk with Merton's model
Duyvesteyn, Johan; Martens, Martin - In: The journal of fixed income 25 (2015) 2, pp. 58-71
Persistent link: https://www.econbiz.de/10011399885
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Two-factor structural model of determinants of Brazilian sovereign risk
Moreira, Ajax; Rocha, Katia - In: The journal of fixed income 14 (2004) 1, pp. 48-59
Persistent link: https://www.econbiz.de/10002155564
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Corporate bond pricing and the effects of endogenous default and call options
Jacoby, Gady; Shiller, Ilona - In: The journal of fixed income 20 (2010/11) 2, pp. 80-100
Persistent link: https://www.econbiz.de/10008667944
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An empirical study of credit default swaps
Skinner, Frank S.; Díaz Pérez, Antonio - In: The journal of fixed income 13 (2003) 1, pp. 28-38
Persistent link: https://www.econbiz.de/10001782459
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A Three-factor defaultable term structure model
Schmid, Bernd; Zagst, Rudi - In: The journal of fixed income 10 (2000) 2, pp. 63-79
Persistent link: https://www.econbiz.de/10001530347
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Valuation of defaultable bonds
Cathcart, Lara - In: The journal of fixed income 8 (1998) 1, pp. 65-78
Persistent link: https://www.econbiz.de/10001246656
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The dynamic pricing of sovereign risk in emerging markets : fundamentals and risk aversion
Remolona, Eli M.; Scatigna, Michaela; Wu, Eliza - In: The journal of fixed income 17 (2007) 4, pp. 57-71
Persistent link: https://www.econbiz.de/10003729816
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Determinants of the size of the sovereign credit default swap market
Berg, Tobias; Streitz, Daniel - In: The journal of fixed income 25 (2016) 3, pp. 58-73
Persistent link: https://www.econbiz.de/10011430639
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Local versus foreign currency ratings : what determines sovereign transfer risk?
Treviño, Lourdes; Thomas, Stephen - In: The journal of fixed income 11 (2001) 1, pp. 65-76
Persistent link: https://www.econbiz.de/10001595329
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The influence of political, economic, and financial risk on expected fixed-income returns
Erb, Claude B. - In: The journal of fixed income 6 (1996) 1, pp. 7-30
Persistent link: https://www.econbiz.de/10001205428