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Research on corporate bond risk premium and default based on voluntary dual ratings selection

Yu, Qianlong; Xiao, Xiaoyi; Lin, Yimin - In: Emerging markets, finance & trade : a journal of the … 59 (2023) 6, pp. 1690-1706

Persistent link: https://www.econbiz.de/10014289783

Modeling the effect of macroeconomic factors on corporate default and credit rating transitions

Figlewski, Stephen; Frydman, Halina; Liang, Weijian - In: International review of economics & finance : IREF 21 (2012) 1, pp. 87-105

Persistent link: https://www.econbiz.de/10009428084

Inferring default probabilities from credit spreads

Benzschawel, Terry; Assing, Andrew - In: The journal of fixed income 21 (2012) 4, pp. 13-24

Persistent link: https://www.econbiz.de/10009670765

Endogenous debt maturity : liquidity risk vs. default risk

Manuelli, Rodolfo E.; Sanchez, Juan M. - 2018

Persistent link: https://www.econbiz.de/10011950510

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