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Inferring default correlation from equity return correlation

Liu, Sheen; Qi, Howard; Shi, Jian; Xie, Yan Alice - In: European financial management : the journal of the … 21 (2015) 2, pp. 333-359

Persistent link: https://www.econbiz.de/10010516668

The determinants of corporate bond yields

Liu, Sheen; Shi, Jian; Wang, Junbo; Wu, Chunchi - In: The quarterly review of economics and finance : journal … 49 (2009) 1, pp. 85-109

Persistent link: https://www.econbiz.de/10003810593

Estimating liquidity premium of corporate bonds using the spread information in on- and off-the-run Treasury securities

Li, Haitao; Wu, Chunchi; Shi, Jian - In: China finance review international 7 (2017) 2, pp. 134-162

Persistent link: https://www.econbiz.de/10011797776

Credit risk models: an analysis of default correlation

Qi, Howard; Xie, Yan Alice; Liu, Sheen - In: The international journal of business and finance … 4 (2010) 1, pp. 37-49

Persistent link: https://www.econbiz.de/10003955684

From equity to default correlation with taxes

Liu, Sheen; Qi, Howard; Xie, Yan Alice - In: Quantitative finance 20 (2020) 8, pp. 1373-1388

Persistent link: https://www.econbiz.de/10012262668

Cost of capital : spot rate or forward rate?

Qi, H.; Xie, Yan Alice - In: Applied economics 48 (2016) 40/42, pp. 3804-3811

Persistent link: https://www.econbiz.de/10011628093

The effects of personal taxes and default risk on bond duration

Xie, Yan Alice; Han, Dan; Qi, Howard - In: Review of Pacific Basin financial markets and policies … 26 (2023) 4, pp. 1-39

Persistent link: https://www.econbiz.de/10014490419

The effect of income smoothing on stock price

Wu, Chunchi - In: Advances in quantitative analysis of finance and … 7 (1999), pp. 83-96

Persistent link: https://www.econbiz.de/10001409330

Joint modeling of time series measures and recurrent events and analysis of the effects of air quality on respiratory symptoms

Zhang, Heping; Ye, Yuanqing; Diggle, Peter; Shi, Jian - In: Journal of the American Statistical Association : JASA 103 (2008) 481, pp. 48-60

Persistent link: https://www.econbiz.de/10003676571

A Structural Approach for Predicting Default Correlation

Liu, Sheen - 2013

Default correlation is a critical concept in risk management for fixed income investment, bank management, and insurance industry, working capital management, among many. We extend the Leland-Toft term structure model into a two-firm environment and predict the default correlation between two...

Persistent link: https://www.econbiz.de/10013090295