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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

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

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

Credit spreads in illiquid markets : model and implementation

Cortazar, Gonzalo; Schwartz, Eduardo S.; Tapia … - In: Emerging markets finance & trade : a journal of the … 48 (2012) 6, pp. 53-72

Persistent link: https://www.econbiz.de/10009721136

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

Sovereign credit spreads

Uhrig-Homburg, Marliese - In: Journal of banking & finance 37 (2013) 11, pp. 4117-4225

Persistent link: https://www.econbiz.de/10010245592

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

Modelling the liquidity premium on corporate bonds

Loon, Paul R. F. van; Cairns, Andrew; McNeil, Alexander J. - In: Annals of actuarial science : publ. by the Institute of … 9 (2015) 2, pp. 264-289

Persistent link: https://www.econbiz.de/10011541988

Option-based credit spreads

Culp, Christopher L.; Nozawa, Yoshio; Veronesi, Pietro - 2014

Persistent link: https://www.econbiz.de/10010468759

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

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