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A jump-diffusion approach to modeling credit risk and valuing defaultable securities
Zhou, Chunsheng - 1997
Persistent link: https://www.econbiz.de/10000633270
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Modeling the recovery rate in a reduced form model
Guo, Xin; Jarrow, Robert A.; Zeng, Yan - In: Mathematical finance : an international journal of … 19 (2009) 1, pp. 73-97
Persistent link: https://www.econbiz.de/10003818346
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An empirical analysis of alternative recovery risk models and implied recovery rates
Zhang, Frank Xiaoling - In: Review of derivatives research 13 (2010) 2, pp. 101-124
Persistent link: https://www.econbiz.de/10008695497
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Level-dependent annuities : defaults of multiple degrees
Mjøs, Aksel; Persson, Svein-Arne - In: Journal of financial and quantitative analysis : JFQA 45 (2010) 5, pp. 1311-1339
Persistent link: https://www.econbiz.de/10008907331
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Equilibrium with limited-recourse collateralized loans
Poblete-Cazenave, Rubén; Torres-Martínez, Juan Pablo - In: Economic theory : official journal of the Society for … 53 (2013) 1, pp. 181-211
Persistent link: https://www.econbiz.de/10009745721
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Explaining the default risk anomaly by the two-beta model
Yeh, Chung-Ying; Hsu, Junming; Wang, Kai-Li; Lin, Che-Hui - In: Journal of empirical finance 30 (2015), pp. 16-33
Persistent link: https://www.econbiz.de/10011489209
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The Mills Ratio and the behavior of redeemable bond prices in the Gaussian structural model of corporate default
Spencer, Peter D. - In: Finance research letters 11 (2014) 1, pp. 8-15
Persistent link: https://www.econbiz.de/10010393638
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On models of default risk
Elliott, Robert J. R.; Jeanblanc, Monique; Yor, Marc - In: Mathematical finance : an international journal of … 10 (2000) 2, pp. 179-195
Persistent link: https://www.econbiz.de/10002177437
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A multifactor approach for systematic default and recovery risk
Rösch, Daniel; Scheule, Harald - In: The journal of fixed income 15 (2005) 2, pp. 63-75
Persistent link: https://www.econbiz.de/10003229860
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Probability Weighting and Default Risk : A Possible Explanation for Distressed Stock Puzzles
Yamazaki, Akira - 2019
This paper suggests incorporating investor probability weighting and the default risk of individual firms into a consumption-based asset pricing model. The extended model provides a unified solution for several anomalous patterns observed on financial markets. The analysis addresses not only...
Persistent link: https://www.econbiz.de/10012900110