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Reduced-form valuation of callable corporate bonds : theory and evidence
Jarrow, Robert A.; Li, Haitao; Liu, Sheen; Wu, Chunchi - In: Journal of financial economics 95 (2010) 2, pp. 227-248
Persistent link: https://www.econbiz.de/10003939586
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Reduced-Form Valuation of Callable Corporate Bonds : Theory and Evidence
Jarrow, Robert A. - 2008
We develop a reduced-form approach for valuing callable corporate bonds by characterizing the call probability via an intensity process. Asymmetric information and market frictions justify the existence of a call-arrival intensity from the market's perspective. Our approach both extends the...
Persistent link: https://www.econbiz.de/10012724910
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Reduced-form valuation of callable corporate bonds: Theory and evidence
Jarrow, Robert; Li, Haitao; Liu, Sheen; Wu, Chunchi - In: Journal of Financial Economics 95 (2010) 2, pp. 227-248
We develop a reduced-form approach for valuing callable corporate bonds by characterizing the call probability via an intensity process. Asymmetric information and market frictions justify the existence of a call-arrival intensity from the market's perspective. Our approach both extends the...
Persistent link: https://www.econbiz.de/10008565600
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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
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The effects of default and call risk on bond duration
Xie, Yan Alice; Liu, Sheen; Wu, Chunchi; Anderson, Bing - In: Journal of banking & finance 33 (2009) 9, pp. 1700-1708
Persistent link: https://www.econbiz.de/10003872871
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Dissecting corporate bond and CDS spreads
Lin, Hai; Liu, Sheen; Wu, Chunchi - In: The journal of fixed income 20 (2010/11) 3, pp. 7-39
Persistent link: https://www.econbiz.de/10008858616
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Structural models of corporate bond pricing with personal taxes
Qi, Howard; Liu, Sheen; Wu, Chunchi - In: Journal of banking & finance 34 (2010) 7, pp. 1700-1718
Persistent link: https://www.econbiz.de/10008649408
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Risky debt-maturity choice under information asymmetry
Liu, Sheen; Wu, Chunchi - In: Advances in quantitative analysis of finance and … 4 (2006), pp. 75-96
Persistent link: https://www.econbiz.de/10003430899
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How much of the corporate bond spread is due to personal taxes?
Liu, Sheen; Shi, Jian; Wang, Junbo; Wu, Chunchi - In: Journal of financial economics 85 (2007) 3, pp. 599-636
Persistent link: https://www.econbiz.de/10003546278
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On the calibration of structural credit spread models
Qi, Howard; Liu, Sheen; Wu, Chunchi - In: Annals of finance 5 (2009) 2, pp. 189-208
Persistent link: https://www.econbiz.de/10003813195