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Spread term structure and default correlation
Gagliardini, Patrick; Gouriéroux, Christian - In: Annals of economics and statistics 123/124 (2016), pp. 175-223
Persistent link: https://www.econbiz.de/10011592744
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Rating migration and bond valuation : a historical interest rate and default probability term structures
Barnard, Brian - In: Expert journal of finance 6 (2018) 1, pp. 16-39
Persistent link: https://www.econbiz.de/10012053529
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Rating migration and bond valuation : decomposing rating migration matrices from market data via default probability term structures
Barnard, Brian - In: Expert journal of finance 5 (2017), pp. 49-72
Persistent link: https://www.econbiz.de/10011749658
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Dynamic optimal capital structure with regime switching
Elliott, Robert J.; Shen, Jia - In: Annals of finance 11 (2015) 2, pp. 199-220
Persistent link: https://www.econbiz.de/10011376180
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Credit spreads with dynamic debt
Das, Sanjiv R.; Kim, Seoyoung - In: Journal of banking & finance 50 (2015), pp. 121-140
Persistent link: https://www.econbiz.de/10010509132
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Credit spreads and bankruptcy information from options data
Tzeng, Chi-Feng - In: Annals of financial economics 9 (2014) 2, pp. 1-22
Persistent link: https://www.econbiz.de/10010489092
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A Three-factor defaultable term structure model
Schmid, Bernd; Zagst, Rudi - In: The journal of fixed income 10 (2000) 2, pp. 63-79
Persistent link: https://www.econbiz.de/10001530347
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The Leland-Toft optimal capital structure model under Poisson observations
Palmowski, Zbigniew; Pérez, José Luis; Budhi Arta Surya; … - In: Finance and stochastics 24 (2020) 4, pp. 1035-1082
Persistent link: https://www.econbiz.de/10012518151
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Are Credit Spreads Too Low or Too High - A Hybrid Barrier Option Approach for Financial Distress
LIn, William T. - 2010
Based on the works of Brockman and Turtle (2003) and Giesecke (2004), we propose in this study a hybrid barrier option model to explain observed credit spreads. It is free of problems with the structural model which underprescribed credit spreads for investment grade corporate bonds and...
Persistent link: https://www.econbiz.de/10013148676
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Defaultable term structures driven by semimartingales
Gümbel, Sandrine; Schmidt, Thorsten - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-27
Persistent link: https://www.econbiz.de/10012807871