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Fabozzi, Frank J.; Mann, Steven V. - 2008

Persistent link: https://www.econbiz.de/10003765585

A bond-picking model for corporate bond allocation

L'Hoir, Mathieu; Boulhabel, Mustafa - In: The journal of portfolio management : a publication of … 36 (2009/10) 3, pp. 131-139

Persistent link: https://www.econbiz.de/10003980058

Corporate bond credit spreads and forecast dispersion

Güntay, Levent; Hackbarth, Dirk - In: Journal of banking & finance 34 (2010) 10, pp. 2328-2345

Persistent link: https://www.econbiz.de/10008857753

Valuing corporate securities: some effects of bond indenture provisions : a correction

Lin, Hsuan-chu - In: Review of quantitative finance and accounting 29 (2007) 2, pp. 173-180

Persistent link: https://www.econbiz.de/10003600107

Extracting systematic factors in a continuous-time credit migration model

Thompson, Harley; Harris, Jonathan - In: The journal of credit risk : published quarterly by … 6 (2010/11) 1, pp. 31-53

Persistent link: https://www.econbiz.de/10003965723

Default compensator, incomplete information, and the term structure of credit spreads

Giesecke, Kay - 2001

We provide a framework for the analysis of term structures of credit spreads on corporate bonds in the presence of informational asymmetries. While bond investors observe default incidents, we suppose that they have incomplete information on the firm's assets and/or the threshold asset level at...

Persistent link: https://www.econbiz.de/10009620780