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21
Can structural models price default risk? : evidence from bond and credit derivative markets
Ericsson, Jan
;
Reneby, Joel
;
Wang, Hao
- In:
The quarterly journal of finance
5
(
2015
)
3
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011381483
Saved in:
22
Credit spreads, endogenous bankruptcy and liquidity risk
Fu, Jianping
;
Wang, Xingchun
;
Wang, Yongjin
- In:
Computational Management Science : CMS
9
(
2012
)
4
,
pp. 515-530
Persistent link: https://www.econbiz.de/10009657599
Saved in:
23
Inferring default probabilities from credit spreads
Benzschawel, Terry
;
Assing, Andrew
- In:
The journal of fixed income
21
(
2012
)
4
,
pp. 13-24
Persistent link: https://www.econbiz.de/10009670765
Saved in:
24
A multivariate default model with spread and event risk
Mai, Jan-Frederik
;
Olivares, Pablo
;
Schenk, Steffen
; …
- In:
Applied mathematical finance
21
(
2014
)
1/2
,
pp. 51-83
Persistent link: https://www.econbiz.de/10010351857
Saved in:
25
Valuing risky debt : a new model combining structural information with the reduced-form approach
Ballestra, Luca Vincenzo
;
Pacelli, Graziella
- In:
Insurance / Mathematics & economics
55
(
2014
),
pp. 261-271
Persistent link: https://www.econbiz.de/10010366168
Saved in:
26
Banks' pooling of corporate debt : an application of the restated diversification theorem
Lundtofte, Frederik
- In:
The North American journal of economics and finance : a …
31
(
2015
),
pp. 249-263
Persistent link: https://www.econbiz.de/10011514232
Saved in:
27
A simple structural model with a default boundary dependent on stock market performance
Kim, Hwa-sung
- In:
Asia-Pacific journal of financial studies
43
(
2014
)
3
,
pp. 356-383
Persistent link: https://www.econbiz.de/10010408043
Saved in:
28
Modeling credit spreads with the Cheyette model and its application to credit default swaptions
Natcheva-Acar, Kalina
;
Acar, Sarp Kaya
;
Krekel, Martin
- In:
The journal of credit risk : published quarterly by …
5
(
2009/10
)
1
,
pp. 47-71
Persistent link: https://www.econbiz.de/10009518037
Saved in:
29
Default hazards and the term structure of credit spreads in a duopoly
Khadem, Varqá
;
Perraudin, William R. M.
-
2001
Persistent link: https://www.econbiz.de/10009581666
Saved in:
30
Credit default swaps in general equilibrium : spillovers, credit spreads, and endogenous default
Darst, R. Matthew
;
Refayet, Ehraz
-
2016
Persistent link: https://www.econbiz.de/10011500390
Saved in:
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