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Macroeconomic variable selection for creditor recovery rates

Nazemi, Abdolreza; Fabozzi, Frank J. - In: Journal of banking & finance 89 (2018), pp. 14-25

Persistent link: https://www.econbiz.de/10011963062

Endogenous debt maturity : liquidity risk vs. default risk

Manuelli, Rodolfo E.; Sanchez, Juan M. - 2018

Persistent link: https://www.econbiz.de/10011950510

Evaluating corporate bonds and analyzing claim holders' decisions with complex debt structure

Liu, Liang-Chih; Dai, Tian-Shyr; Wang, Chuan-Ju - In: Journal of banking & finance 72 (2016), pp. 151-174

Persistent link: https://www.econbiz.de/10011635505

Credit default swaps and corporate debt structure

Chen, Yangyang; Saffar, Walid; Shan, Chenyu; Wang, … - In: The journal of corporate finance : contracting, … 83 (2023), pp. 1-21

Persistent link: https://www.econbiz.de/10014513164

Structural recovery of face value at default

Guha, Rajiv; Sbuelz, Alessandro; Tarelli, Andrea - In: European journal of operational research : EJOR 283 (2020) 3, pp. 1148-1171

Persistent link: https://www.econbiz.de/10012171774

Default cycles

Cui, Wei; Kaas, Leo - 2017

Persistent link: https://www.econbiz.de/10012171938

Pricing default risk in stochastic time

Harju, Antti J. - In: The journal of credit risk : published quarterly by … 19 (2023) 3, pp. 23-49

Persistent link: https://www.econbiz.de/10014489139

The regime-switching structural default risk model

Milidonis, Andreas; Chisholm, Kevin - In: Risks : open access journal 12 (2024) 3, pp. 1-33

We develop the regime-switching default risk (RSDR) model as a generalization of Merton's default risk (MDR) model. The RSDR model supports an expanded range of asset probability density functions. First, we show using simulation that the RSDR model incorporates sudden changes in asset values...

Persistent link: https://www.econbiz.de/10014497430

Debt dynamics and credit risk

Feldhütter, Peter; Schaefer, Stephen M. - In: Journal of financial economics 149 (2023) 3, pp. 497-535

Persistent link: https://www.econbiz.de/10014420552

An empirical evaluation of alternative fundamental models of credit spreads

Murphy, Austin; Headley, Adrian - In: International review of financial analysis 81 (2022), pp. 1-21

Persistent link: https://www.econbiz.de/10013411160