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On a new corporate bond pricing model with potential credit rating change and stochastic interest rate
Yin, Hong-Ming; Liang, Jin; Wu, Yuan - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-12
In this paper, we consider a new corporate bond-pricing model with credit-rating migration risks and a stochastic interest rate. In the new model, the criterion for rating change is based on a predetermined ratio of the corporation’s total asset and debt. Moreover, the rating changes are...
Persistent link: https://www.econbiz.de/10011960410
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Credit rating agencies, information asymmetry and US bond liquidity
Lovo, Stefano M.; Raimbourg, Philippe; Salvadè, Federica - 2022
Persistent link: https://www.econbiz.de/10014479911
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Credit rating agencies, information asymmetry and US bond liquidity
Lovo, Stefano M.; Raimbourg, Philippe; Salvadè, Federica - In: Journal of business finance & accounting : JBFA 49 (2022) 9/10, pp. 1863-1896
Persistent link: https://www.econbiz.de/10013468732
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Dynamic illiquid asset pricing using low frequency accounting information for understanding size-effect anomaly
Malhotra, Rohit - In: Indian journal of economics & business : IJEB 17 (2018) 1, pp. 123-138
Persistent link: https://www.econbiz.de/10012649130
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Does market risk predict credit risk? : an analysis of firm risk sensitivity, evidence from South Korea
Lim, Hyoungjoo; Mali, Dafydd - In: Asia-Pacific journal of accounting & economics : APJAE 25 (2018) 1/2, pp. 235-252
Persistent link: https://www.econbiz.de/10011986366
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Structure and intensity based approach in credit risk models : a literature review
Ramesh, Adithi; Kumar, C. B. Senthil - In: International journal of economics and financial issues … 7 (2017) 3, pp. 609-612
Persistent link: https://www.econbiz.de/10011822911
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Sensitivity of stress testing metrics to estimation risk, account behaviour and volatility for credit defaults
Djeundje, Viani Biatat; Crook, Jonathan N. - In: Journal of the Operational Research Society 74 (2023) 7, pp. 1763-1774
Persistent link: https://www.econbiz.de/10014336309
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Nonlinear modeling of financial stability using default probabilities from the capital market
Albu, Lucian-Liviu; Lupu, Radu; Călin, Adrian Cantemir; … - In: Romanian journal of economic forecasting 22 (2019) 1, pp. 19-37
Persistent link: https://www.econbiz.de/10012021954
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Dynamic stock-bond return correlations and financial market uncertainty
Chiang, Thomas C.; Li, Jiandong; Yang, Sheng-Yung - In: Review of quantitative finance and accounting 45 (2015) 1, pp. 59-88
Persistent link: https://www.econbiz.de/10011333137
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Applied quantitative finance
Härdle, Wolfgang (ed.); Hautsch, Nikolaus (ed.);  … - 2009 - 2. ed.
Persistent link: https://www.econbiz.de/10003719524