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Corporate yields : effect of credit ratings and sovereign yields

Hale, Galina; Bevilaqua, Julia; Tallman, Eric - 2020

Persistent link: https://www.econbiz.de/10012202073

Reaching for yield and the cross section of bond returns

Chen, Qianwen; Choi, Jaewon - In: Management science : journal of the Institute for … 70 (2024) 8, pp. 5226-5245

Persistent link: https://www.econbiz.de/10015047067

Sovereign bond spreads and credit sensitivity

Schefer, Ricardo - 2020

Expectations of risky bond payments are unobservable and recovery rates for sovereigns are hard to estimate because …

Persistent link: https://www.econbiz.de/10012307696

The Jarrow-Turnbull default risk model : evidence from the German market

Frühwirth, Manfred; Sögner, Leopold - In: The European journal of finance 12 (2006) 2, pp. 107-135

Persistent link: https://www.econbiz.de/10003305283

The Jarrow/Turnbull Default Risk Model Evidence from the German Market

Sögner, Leopold - 2018

observations of German bank bond prices, based on the default-free term structure estimated from the Svensson (1994) model provided … depend on the estimation period and on the bond used for estimation. This result strongly supports separate estimation over …

Persistent link: https://www.econbiz.de/10012923107

The regime-switching structural default risk model

Milidonis, Andreas; Chisholm, Kevin - In: Risks : open access journal 12 (2024) 3, pp. 1-33

We develop the regime-switching default risk (RSDR) model as a generalization of Merton's default risk (MDR) model. The RSDR model supports an expanded range of asset probability density functions. First, we show using simulation that the RSDR model incorporates sudden changes in asset values...

Persistent link: https://www.econbiz.de/10014497430