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Jan Ericsson

Not to be confused with: Johan Parmler

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Jan Ericsson & Kris Jacobs & Rodolfo A. Oviedo, 2004. "The Determinants of Credit Default Swap Premia," CIRANO Working Papers 2004s-55, CIRANO.

    Cited by:

    1. Kanagaretnam, Kiridaran & Zhang, Gaiyan & Zhang, Sanjian Bill, 2016. "CDS pricing and accounting disclosures: Evidence from U.S. bank holding corporations around the recent financial crisis," Journal of Financial Stability, Elsevier, vol. 22(C), pages 33-44.
    2. Masakazu Miura & Kenichiro Tamaki & Takayuki Shiohama, 2013. "Asymptotic Expansion for Term Structures of Defaultable Bonds with Non-Gaussian Dependent Innovations," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(4), pages 311-344, November.
    3. Óscar Arce & Sergio Mayordomo & Juan Ignacio Peña, 2012. "Credit-valuation in the sovereing CDS and bonds markets: Evidence from the euro area crisis," CNMV Working Papers CNMV Working Papers no. 5, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
    4. Antonio Trujillo-Ponce & Reyes Samaniego-Medina & Clara Cardone-Riportella, 2014. "Examining what best explains corporate credit risk: accounting-based versus market-based models," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 15(2), pages 253-276, April.
    5. Schreiber, Irene & Müller, Gernot & Klüppelberg, Claudia & Wagner, Niklas, 2012. "Equities, credits and volatilities: A multivariate analysis of the European market during the subprime crisis," International Review of Financial Analysis, Elsevier, vol. 24(C), pages 57-65.
    6. Scheicher, Martin & Raunig, Burkhard, 2008. "A value at risk analysis of credit default swaps," Discussion Paper Series 2: Banking and Financial Studies 2008,12, Deutsche Bundesbank.
    7. Aktham Maghyereh & Hussein Abdoh, 2024. "Oil price uncertainly and sovereign credit risk in GCC countries: fresh evidence," International Economics and Economic Policy, Springer, vol. 21(2), pages 457-482, May.
    8. Claußen, Arndt & Löhr, Sebastian & Rösch, Daniel & Scheule, Harald, 2017. "Valuation of systematic risk in the cross-section of credit default swap spreads," The Quarterly Review of Economics and Finance, Elsevier, vol. 64(C), pages 183-195.
    9. Buchanan, Bonnie & Kaya, Caglar, 2024. "Foundation ownership and creditor governance: Evidence from publicly listed companies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 93(C).
    10. Romain Cuchet & Pascal François & Georges Hübner, 2011. "Currency Total Return Swaps: Valuation and Risk Factor Analysis," Cahiers de recherche 1128, CIRPEE.
    11. Danilo Drago & Concetta Carnevale & Raffaele Gallo, 2019. "Do corporate social responsibility ratings affect credit default swap spreads?," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 26(3), pages 644-652, May.
    12. Jan Mutl & Leopold Sögner, 2019. "Parameter estimation and inference with spatial lags and cointegration," Econometric Reviews, Taylor & Francis Journals, vol. 38(6), pages 597-635, July.
    13. Broto, Carmen & Pérez-Quirós, Gabriel, 2015. "Disentangling contagion among sovereign CDS spreads during the European debt crisis," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 165-179.
    14. Jiri Podpiera & Ms. Inci Ötker, 2010. "The Fundamental Determinants of Credit Default Risk for European Large Complex Financial Institutions," IMF Working Papers 2010/153, International Monetary Fund.
    15. Narayan, Paresh Kumar, 2015. "An analysis of sectoral equity and CDS spreads," Working Papers fe_2015_02, Deakin University, Department of Economics.
    16. Balcilar, Mehmet & Hammoudeh, Shawkat & Toparli, Elif Akay, 2018. "On the risk spillover across the oil market, stock market, and the oil related CDS sectors: A volatility impulse response approach," Energy Economics, Elsevier, vol. 74(C), pages 813-827.
    17. Han-Hsing Lee, 2020. "Distress risk, product market competition, and corporate bond yield spreads," Review of Quantitative Finance and Accounting, Springer, vol. 55(3), pages 1093-1135, October.
    18. Ann Marie Hibbert & Ivelina Pavlova & Joel Barber & Krishnan Dandapani, 2011. "Credit Spread Changes and Equity Volatility: Evidence from Daily Data," The Financial Review, Eastern Finance Association, vol. 46(3), pages 357-383, August.
    19. Yu Zhao & Huaming Du & Qing Li & Fuzhen Zhuang & Ji Liu & Gang Kou, 2022. "A Comprehensive Survey on Enterprise Financial Risk Analysis from Big Data Perspective," Papers 2211.14997, arXiv.org, revised May 2023.
    20. Da Fonseca, José & Gottschalk, Katrin, 2014. "Cross-hedging strategies between CDS spreads and option volatility during crises," Journal of International Money and Finance, Elsevier, vol. 49(PB), pages 386-400.
    21. Barakat, Ahmed & Ashby, Simon & Fenn, Paul & Bryce, Cormac, 2019. "Operational risk and reputation in financial institutions: Does media tone make a difference?," Journal of Banking & Finance, Elsevier, vol. 98(C), pages 1-24.
    22. Geir H. Bjønnes & Steinar Holden & Dagfinn Rime & Haakon O. Aa. Solheim, 2009. "'Large' vs. 'Small' Players: A Closer Look at the Dynamics of Speculative Attacks," CESifo Working Paper Series 2518, CESifo.
    23. Okimoto, Tatsuyoshi & Takaoka, Sumiko, 2024. "Credit default swaps and corporate carbon emissions in Japan," Energy Economics, Elsevier, vol. 133(C).
    24. J.A. Bikker & D.F. Gerritsen & Steffie M. Schwillens, 2016. "Competing for savings: how important is creditworthiness during the crisis?," Working Papers 16-01, Utrecht School of Economics.
    25. Eyssell, Thomas & Fung, Hung-Gay & Zhang, Gaiyan, 2013. "Determinants and price discovery of China sovereign credit default swaps," China Economic Review, Elsevier, vol. 24(C), pages 1-15.
    26. Kei-Ichiro Inaba, 2018. "Liquidity and Pricing of Credit Default Swaps in Japan: Evidence from a Benchmark Index for Corporate Debt Claims," Journal of Financial Services Research, Springer;Western Finance Association, vol. 54(1), pages 111-143, August.
    27. Jan Annaert & Marc De Ceuster & Patrick Van Roy & Cristina Vespro, 2010. "What determines euro area bank CDS spreads ?," Working Paper Research 190, National Bank of Belgium.
    28. Y.-S. Ren & S. Boubaker & P.-Z. Liu & O. Weber, 2023. "How Does Carbon Regulatory Policy Affect Debt Financing Costs? Empirical Evidence from China," Post-Print hal-04435562, HAL.
    29. Giacomo Bulfone & Roberto Casarin & Francesco Ravazzolo, 2021. "Corporate CDS spreads from the Eurozone crisis to COVID-19 pandemic: A Bayesian Markov switching model," Working Paper series 21-09, Rimini Centre for Economic Analysis.
    30. Arnold, Ivo J.M. & Soederhuizen, Beau, 2018. "Bank stability and refinancing operations during the crisis: Which way causality?," Research in International Business and Finance, Elsevier, vol. 43(C), pages 79-89.
    31. King, Michael R., 2019. "Time to buy or just buying time? Lessons from October 2008 for the cross-border bailout of banks," Journal of Financial Stability, Elsevier, vol. 41(C), pages 55-72.
    32. Benjamin E. Hermalin & Michael S. Weisbach, 2012. "Information Disclosure and Corporate Governance," Journal of Finance, American Finance Association, vol. 67(1), pages 195-234, February.
    33. Álvaro Chamizo & Alexandre Fonollosa & Alfonso Novales, 2019. "Forward-looking asset correlations in the estimation of economic capital," Documentos de Trabajo del ICAE 2019-25, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    34. Blommestein, Hans & Eijffinger, Sylvester & Qian, Zongxin, 2016. "Regime-dependent determinants of Euro area sovereign CDS spreads," Journal of Financial Stability, Elsevier, vol. 22(C), pages 10-21.
    35. Marra, Miriam, 2015. "The impact of liquidity on senior credit index spreads during the subprime crisis," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 148-167.
    36. Gong, D., 2014. "Bank Systemic Risk-Taking and Loan Pricing : Evidence from Syndicated Loans," Other publications TiSEM 5f066f24-3d9c-40dd-aaa5-2, Tilburg University, School of Economics and Management.
    37. Naifar, Nader, 2012. "Modeling the dependence structure between default risk premium, equity return volatility and the jump risk: Evidence from a financial crisis," Economic Modelling, Elsevier, vol. 29(2), pages 119-131.
    38. Eichengreen, Barry & Mody, Ashoka & Nedeljkovic, Milan & Sarno, Lucio, 2012. "How the Subprime Crisis went global: Evidence from bank credit default swap spreads," Journal of International Money and Finance, Elsevier, vol. 31(5), pages 1299-1318.
    39. Brian BARNARD, 2017. "Rating Migration and Bond Valuation: Decomposing Rating Migration Matrices from Market Data via Default Probability Term Structures," Expert Journal of Finance, Sprint Investify, vol. 5, pages 49-72.
    40. Abinzano, Isabel & Gonzalez-Urteaga, Ana & Muga, Luis & Sanchez, Santiago, 2020. "Performance of default-risk measures: the sample matters," Journal of Banking & Finance, Elsevier, vol. 120(C).
    41. Frank Zhang, 2010. "An empirical analysis of alternative recovery risk models and implied recovery rates," Review of Derivatives Research, Springer, vol. 13(2), pages 101-124, July.
    42. Avino, Davide & Cotter, John, 2014. "Sovereign and bank CDS spreads: two sides of the same coin?," MPRA Paper 55208, University Library of Munich, Germany.
    43. Shawkat Hammoudeh & Tengdong Liu & Chia-Lin Chang & Michael McAleer, 2011. "Risk Spillovers in Oil-Related CDS, Stock and Credit Markets," Working Papers in Economics 11/17, University of Canterbury, Department of Economics and Finance.
    44. Avino, Davide & Cotter, John, 2013. "Sovereign and bank CDS spreads: two sides of the same coin for European bank default predictability?," MPRA Paper 56782, University Library of Munich, Germany.
    45. Galil, Koresh & Shapir, Offer Moshe & Amiram, Dan & Ben-Zion, Uri, 2014. "The determinants of CDS spreads," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 271-282.
    46. Brasel, Kelsey R. & Hill, Mary S. & Taylor, Gary K., 2022. "The relevance of GAAP vs. non-GAAP net assets to creditors: An examination of the credit default swap market," Advances in accounting, Elsevier, vol. 56(C).
    47. Name 1 Dieter Wang Email 1 & Iman (I.P.P.) van Lelyveld & Julia (J.) Schaumburg, 2018. "Do information contagion and business model similarities explain bank credit risk commonalities?," Tinbergen Institute Discussion Papers 18-100/IV, Tinbergen Institute.
    48. Vincent Xiang & Michael T. Chng & Victor Fang, 2017. "The economic significance of CDS price discovery," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 1-30, January.
    49. Jitmaneeroj, Boonlert, 2018. "Is Thailand’s credit default swap market linked to bond and stock markets? Evidence from the term structure of credit spreads," Research in International Business and Finance, Elsevier, vol. 46(C), pages 324-341.
    50. Dick-Nielsen, Jens & Nielsen, Mads Stenbo & von Rüden, Stine Louise, 2021. "The value of bond underwriter relationships," Journal of Corporate Finance, Elsevier, vol. 68(C).
    51. Benbouzid, Nadia & Leonida, Leone & Mallick, Sushanta K., 2018. "The non-monotonic impact of bank size on their default swap spreads: Cross-country evidence," International Review of Financial Analysis, Elsevier, vol. 55(C), pages 226-240.
    52. Marcin Jaskowski & Michael McAleer, 2018. "Spurious Cross-Sectional Dependence in Credit Spread Changes," Documentos de Trabajo del ICAE 2018-21, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    53. Alexander Blasberg & Rüdiger Kiesel & Luca Taschini, 2022. "Carbon Default Swap - Disentangling the Exposure to Carbon Risk through CDS," CESifo Working Paper Series 10016, CESifo.
    54. Syed Jawad Hussain Shahzad & Safwan Mohd Nor & Nur Azura Sanusi & Ronald Ravinesh Kumar, 2018. "The Determinants of Credit Risk: Analysis of US Industry-level Indices," Global Business Review, International Management Institute, vol. 19(5), pages 1152-1165, October.
    55. Guha, Rajiv & Sbuelz, Alessandro & Tarelli, Andrea, 2020. "Structural recovery of face value at default," European Journal of Operational Research, Elsevier, vol. 283(3), pages 1148-1171.
    56. Javadi, Siamak & Mollagholamali, Mohsen, 2018. "Debt market illiquidity and correlated default risk," Finance Research Letters, Elsevier, vol. 26(C), pages 266-273.
    57. Choi, Yong Seok & Doshi, Hitesh & Jacobs, Kris & Turnbull, Stuart M., 2020. "Pricing structured products with economic covariates," Journal of Financial Economics, Elsevier, vol. 135(3), pages 754-773.
    58. Hkiri, Besma & Hammoudeh, Shawkat & Aloui, Chaker & Shahbaz, Muhammad, 2018. "The interconnections between U.S. financial CDS spreads and control variables: New evidence using partial and multivariate wavelet coherences," International Review of Economics & Finance, Elsevier, vol. 57(C), pages 237-257.
    59. Lee, Hwang Hee & Hyun, Jung-Soon, 2019. "The asymmetric effect of equity volatility on credit default swap spreads," Journal of Banking & Finance, Elsevier, vol. 98(C), pages 125-136.
    60. Keiler, Sebastian & Eder, Armin, 2013. "CDS spreads and systemic risk: A spatial econometric approach," Discussion Papers 01/2013, Deutsche Bundesbank.
    61. Adam B. Ashcraft & João A. C. Santos, 2006. "Has the development of the structured credit market affected the cost of corporate debt?," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
    62. Davide E Avino & Enrique Salvador, 2024. "Contingent Claims and Hedging of Credit Risk with Equity Options," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 14(2), pages 310-348.
    63. Yang Zhang, 2018. "Corporate Governance Effects on Risk Management and Shareholder Wealth: The Case of Mergers and Acquisitions," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 4-2018, January-A.
    64. Andrea Ugolini & Juan C. Reboredo & Javier Ojea Ferreiro, 2023. "Is Climate Transition Risk Priced into Corporate Credit Risk? Evidence from Credit Default Swaps," Staff Working Papers 23-38, Bank of Canada.
    65. Haerri, Matthias & Morkoetter, Stefan & Westerfeld, Simone, 2014. "Sovereign Risk and the Pricing of Corporate Credit Default Swaps," Working Papers on Finance 1423, University of St. Gallen, School of Finance, revised Feb 2015.
    66. Wagner, Wolf & Gong, Di, 2016. "Systemic risk-taking at banks: Evidence from the pricing of syndicated loans," CEPR Discussion Papers 11150, C.E.P.R. Discussion Papers.
    67. Augustin, Patrick & Subrahmanyam, Marti G. & Tang, Dragon Yongjun & Wang, Sarah Qian, 2014. "Credit Default Swaps: A Survey," Foundations and Trends(R) in Finance, now publishers, vol. 9(1-2), pages 1-196, December.
    68. Shahzad, Syed Jawad Hussain & Nor, Safwan Mohd & Ferrer, Roman & Hammoudeh, Shawkat, 2017. "Asymmetric determinants of CDS spreads: U.S. industry-level evidence through the NARDL approach," Economic Modelling, Elsevier, vol. 60(C), pages 211-230.
    69. Jie Cao & Amit Goyal & Xiao Xiao & Xintong Zhan, 2023. "Implied Volatility Changes and Corporate Bond Returns," Management Science, INFORMS, vol. 69(3), pages 1375-1397, March.
    70. Zhang, Gaiyan & Zhang, Sanjian, 2013. "Information efficiency of the U.S. credit default swap market: Evidence from earnings surprises," Journal of Financial Stability, Elsevier, vol. 9(4), pages 720-730.
    71. Corò, Filippo & Dufour, Alfonso & Varotto, Simone, 2013. "Credit and liquidity components of corporate CDS spreads," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5511-5525.
    72. Meles, Antonio & Salerno, Dario & Sampagnaro, Gabriele & Verdoliva, Vincenzo & Zhang, Jianing, 2023. "The influence of green innovation on default risk: Evidence from Europe," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 692-710.
    73. Narayan, Paresh Kumar & Bannigidadmath, Deepa, 2021. "Financial news and CDS spreads," Journal of Behavioral and Experimental Finance, Elsevier, vol. 29(C).
    74. Avino, Davide & Nneji, Ogonna, 2014. "Are CDS spreads predictable? An analysis of linear and non-linear forecasting models," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 262-274.
    75. Klomp, Jeroen, 2013. "Government interventions and default risk: Does one size fit all?," Journal of Financial Stability, Elsevier, vol. 9(4), pages 641-653.
    76. Akram, Q. Farooq & Rime, Dagfinn & Sarno, Lucio, 2006. "Arbitrage in the Foreign Exchange Market: Turning on the Microscope," SIFR Research Report Series 42, Institute for Financial Research.
    77. Gündüz, Yalin & Uhrig-Homburg, Marliese, 2011. "Does modeling framework matter? A comparative study of structural and reduced-form models," Discussion Paper Series 2: Banking and Financial Studies 2011,05, Deutsche Bundesbank.
    78. Ramaprasad Bhar, 2010. "Stochastic Filtering with Applications in Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7736, October.
    79. Álvaro Chamizo & Alfonso Novales, 2019. "Looking through systemic credit risk: determinants, stress testing and market value," Documentos de Trabajo del ICAE 2019-27, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    80. Switzer, Lorne N. & Wang, Jun, 2017. "Institutional investment horizon, the information environment, and firm credit risk," Journal of Financial Stability, Elsevier, vol. 29(C), pages 57-71.
    81. Apergis, Nicholas & Danuletiu, Dan & Xu, Bing, 2022. "CDS spreads and COVID-19 pandemic," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).
    82. Matteo Foglia & Eliana Angelini, 2019. "The Time-Spatial Dimension of Eurozone Banking Systemic Risk," Risks, MDPI, vol. 7(3), pages 1-25, July.
    83. Yang, Shanxiang & Liu, Zhechen & Wang, Xinjie, 2020. "News sentiment, credit spreads, and information asymmetry," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    84. Wolff, Christian & Masror Khah, Sara Abed, 2015. "The Determinants of CoCo Bond Prices," CEPR Discussion Papers 10996, C.E.P.R. Discussion Papers.
    85. Rong Huang & Xintian Lin & Yuan Xie, 2023. "Does CDS market price intangible asset value? Evidence from SG&A expenditure," Review of Quantitative Finance and Accounting, Springer, vol. 61(2), pages 701-728, August.
    86. Byström, Hans, 2019. "Internet Searches, Household Sentiment and Credit Spreads," Working Papers 2019:15, Lund University, Department of Economics.
    87. Irresberger, Felix & Weiß, Gregor N.F. & Gabrysch, Janet & Gabrysch, Sandra, 2018. "Liquidity tail risk and credit default swap spreads," European Journal of Operational Research, Elsevier, vol. 269(3), pages 1137-1153.
    88. Ingo Fender & Bernd Hayo & Matthias Neuenkirch, 2011. "Daily CDS pricing in emerging markets before and during the global financial crisis," MAGKS Papers on Economics 201139, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    89. Óscar Arce & Sergio Mayordomo & Juan Ignacio Peña, 2012. "Credit-Risk Valuation in the Sovereign CDS and Bonds Markets: Evidence from the Euro Area Crisis," Faculty Working Papers 22/12, School of Economics and Business Administration, University of Navarra.
    90. Tang, Dragon Yongjun & Yan, Hong, 2017. "Understanding transactions prices in the credit default swaps market," Journal of Financial Markets, Elsevier, vol. 32(C), pages 1-27.
    91. Umar Butt, 2019. "Debt covenant violation, competition and cost of new debt," Australian Journal of Management, Australian School of Business, vol. 44(2), pages 163-187, May.
    92. Richard Neuberg & Paul Glasserman & Benjamin Kay & Sriram Rajan, 2016. "The Market-implied Probability of European Government Intervention in Distressed Banks," Working Papers 16-10, Office of Financial Research, US Department of the Treasury.
    93. Kim, Suk-Joong & Salem, Leith & Wu, Eliza, 2015. "The role of macroeconomic news in sovereign CDS markets: Domestic and spillover news effects from the U.S., the Eurozone and China," Journal of Financial Stability, Elsevier, vol. 18(C), pages 208-224.
    94. Shih, Yi-Cheng & Wang, Yao & Zhong, Rui & Ma, Yi-Ming, 2021. "Corporate environmental responsibility and default risk: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    95. Amine Lahiani & Shawkat Hammoudeh & Rangan Gupta, 2016. "Linkages between financial sector CDS spreads and macroeconomic influence in a nonlinear setting," Post-Print hal-03531142, HAL.
    96. Doshi, Hitesh & Patel, Saurin & Ramani, Srikanth & Sooy, Matthew, 2023. "Uncertain tone, asset volatility and credit default swap spreads," Journal of Contemporary Accounting and Economics, Elsevier, vol. 19(3).
    97. Breitenfellner, Bastian & Wagner, Niklas, 2012. "Explaining aggregate credit default swap spreads," International Review of Financial Analysis, Elsevier, vol. 22(C), pages 18-29.
    98. Okimoto, Tatsuyoshi & Takaoka, Sumiko, 2022. "The credit spread curve distribution and economic fluctuations in Japan," Journal of International Money and Finance, Elsevier, vol. 122(C).
    99. Benjamin Y. Zhang & Hao Zhou & Haibin Zhu, 2005. "Explaining credit default swap spreads with the equity volatility and jump risks of individual firms," Finance and Economics Discussion Series 2005-63, Board of Governors of the Federal Reserve System (U.S.).
    100. Sclip, Alex & Girardone, Claudia & Miani, Stefano, 2019. "Large EU banks’ capital and liquidity: Relationship and impact on credit default swap spreads," The British Accounting Review, Elsevier, vol. 51(4), pages 438-461.
    101. Stephen Zamore & Kwame Ohene Djan & Ilan Alon & Bersant Hobdari, 2018. "Credit Risk Research: Review and Agenda," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 54(4), pages 811-835, March.
    102. John Ziyang Zhang, 2014. "Asset Securitizations and Credit Default Swaps," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 23(4), pages 211-243, November.
    103. Carr, Peter & Wu, Liuren, 2007. "Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2383-2403, August.
    104. Chen, Yi-hsuan & Härdle, Wolfgang Karl, 2012. "Common factors in credit defaults swaps markets," SFB 649 Discussion Papers 2012-063, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    105. Jing-zhi Huang & Hao Zhou, 2008. "Specification analysis of structural credit risk models," Finance and Economics Discussion Series 2008-55, Board of Governors of the Federal Reserve System (U.S.).
    106. Christian Meine & Hendrik Supper & Gregor Weiß, 2015. "Do CDS spreads move with commonality in liquidity?," Review of Derivatives Research, Springer, vol. 18(3), pages 225-261, October.
    107. Hwang Hee Lee & Frederick Dongchuhl Oh, 2022. "The role of credit default swaps in determining corporate payout policy," Financial Management, Financial Management Association International, vol. 51(2), pages 635-661, June.
    108. Alexander, Carol & Kaeck, Andreas, 2008. "Regime dependent determinants of credit default swap spreads," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 1008-1021, June.
    109. Ratner, Mitchell & Chiu, Chih-Chieh (Jason), 2013. "Hedging stock sector risk with credit default swaps," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 18-25.
    110. Giammarino, Flavia & Barrieu, Pauline, 2009. "A semiparametric model for the systematic factors of portfolio credit risk premia," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 655-670, September.
    111. Shawkat Hammoudeh & Mohan Nandha & Yuan Yuan, 2013. "Dynamics of CDS spread indexes of US financial sectors," Applied Economics, Taylor & Francis Journals, vol. 45(2), pages 213-223, January.
    112. Xue, Fei & Wang, Xin & Xie, Yan & Zhang, Weihua, 2022. "Does CEO's early life experience affect corporate bond yield spread? Evidence from China's great famine," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 1012-1024.
    113. Xiu Xu & Cathy Yi-Hsuan Chen & Wolfgang Karl Härdle, 2019. "Dynamic credit default swap curves in a network topology," Quantitative Finance, Taylor & Francis Journals, vol. 19(10), pages 1705-1726, October.
    114. Jing-Zhi Huang & Bibo Liu & Zhan Shi, 2023. "Determinants of Short-Term Corporate Yield Spreads: Evidence from the Commercial Paper Market," Review of Finance, European Finance Association, vol. 27(2), pages 539-579.
    115. Hernandez Tinoco, Mario & Wilson, Nick, 2013. "Financial distress and bankruptcy prediction among listed companies using accounting, market and macroeconomic variables," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 394-419.
    116. Demirguc-Kunt, Asli & Detragiache, Enrica & Merrouche, Ouarda, 2010. "Bank capital : lessons from the financial crisis," Policy Research Working Paper Series 5473, The World Bank.
    117. Alexandru Monahov, 2015. "The Effects of Prudential Supervision on Bank Resiliency and Profits in a Multi-Agent Setting," GREDEG Working Papers 2015-24, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France.
    118. Völz, Manja & Wedow, Michael, 2011. "Market discipline and too-big-to-fail in the CDS market: Does banks' size reduce market discipline?," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 195-210, March.
    119. André Höck & Christian Klein & Alexander Landau & Bernhard Zwergel, 2020. "The effect of environmental sustainability on credit risk," Journal of Asset Management, Palgrave Macmillan, vol. 21(2), pages 85-93, March.
    120. Wengner, Andreas & Burghof, Hans-Peter & Schneider, Johannes, 2015. "The impact of credit rating announcements on corporate CDS markets—Are intra-industry effects observable?," Journal of Economics and Business, Elsevier, vol. 78(C), pages 79-91.
    121. Fender, Ingo & Hayo, Bernd & Neuenkirch, Matthias, 2012. "Daily pricing of emerging market sovereign CDS before and during the global financial crisis," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2786-2794.
    122. Chamizo, Álvaro & Fonollosa, Alexandre & Novales, Alfonso, 2019. "Forward-looking asset correlations in the estimation of economic capital," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 264-288.
    123. Lafuente, Juan Angel & Serrano, Pedro, 2015. "On the compensation for illiquidity in sovereign credit markets," Journal of Multinational Financial Management, Elsevier, vol. 30(C), pages 83-100.
    124. Blanco, Iván & García, Sergio J., 2021. "Options trading and the cost of debt," Journal of Corporate Finance, Elsevier, vol. 69(C).
    125. Forte, Santiago & Lovreta, Lidija, 2012. "Endogenizing exogenous default barrier models: The MM algorithm," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1639-1652.
    126. Rydqvist, Kristian, 2010. "Tax Arbitrage with Risk and Effort Aversion - Swedish Lottery Bonds 1970-1990," SIFR Research Report Series 70, Institute for Financial Research.
    127. Casavecchia, Lorenzo & Loudon, Geoffrey F. & Wu, Eliza, 2018. "What moves benchmark money market rates? Evidence from the BBSW market," Pacific-Basin Finance Journal, Elsevier, vol. 51(C), pages 137-154.
    128. Ka Kei Chan & Ming‐Tsung Lin & Qinye Lu, 2024. "Corporate credit default swap systematic factors," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(7), pages 1224-1256, July.
    129. Mr. Stefan W. Schmitz & Michael Sigmund & Ms. Laura Valderrama, 2017. "Bank Solvency and Funding Cost: New Data and New Results," IMF Working Papers 2017/116, International Monetary Fund.
    130. Zhang, Wenlong & Zhang, Gaiyan & Helwege, Jean, 2022. "Cross country linkages and transmission of sovereign risk: Evidence from China’s credit default swaps," Journal of Financial Stability, Elsevier, vol. 58(C).
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    265. Seung C. Ahn & Stephan Dieckmann & M. Fabricio Perez, 2018. "Is there a missing factor? A canonical correlation approach to factor models," Review of Financial Economics, John Wiley & Sons, vol. 36(4), pages 321-347, October.
    266. Dooyeon Cho & Dong‐Eun Rhee, 2024. "Determinants of market‐assessed sovereign default risk: Macroeconomic fundamentals or global shocks?," International Finance, Wiley Blackwell, vol. 27(1), pages 35-60, April.
    267. Steven Lecce & Andrew Lepone & Michael D. McKenzie & Jin Boon Wong & Jin Y. Yang, 2018. "Short‐selling and credit default swap spreads—Where do informed traders trade?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(8), pages 925-942, August.
    268. Ramaprasad Bhar & Nedim Handzic, 2011. "A Multifactor Model of Credit Spreads," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(1), pages 105-127, March.
    269. Biao Guo & David Newton, 2013. "Regime-Dependent Liquidity Determinants Of Credit Default Swap Spread Changes," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 36(2), pages 279-298, June.
    270. Braga-Alves, Marcus V. & Ismailescu, Iuliana & Sen, Kaustav, 2022. "Powerful CEOs and their legacy: Evidence from credit risk around CEO turnovers," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 345-358.
    271. Sorin Gabriel Anton, 2011. "The Local Determinants Of Emerging Market Sovereign Cds Spreads In The Context Of The Debt Crisis. An Explanatory Study "," Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice (1954-2015), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 58, pages 41-52, november.
    272. Dodd, Olga & Kalimipalli, Madhu & Chan, Wing, 2021. "Evaluating corporate credit risks in emerging markets," International Review of Financial Analysis, Elsevier, vol. 73(C).
    273. Liu, Ya & Qiu, Buhui & Wang, Teng, 2021. "Debt rollover risk, credit default swap spread and stock returns: Evidence from the COVID-19 crisis," Journal of Financial Stability, Elsevier, vol. 53(C).
    274. Lee, Hwang Hee & Oh, Frederick Dongchuhl, 2020. "Corporate innovation and credit default swap spreads," Finance Research Letters, Elsevier, vol. 32(C).
    275. Hsien-Yi Chen & Sheng-Syan Chen, 2024. "How does credit market innovation affect the fiscal policy of state governments?," Review of Quantitative Finance and Accounting, Springer, vol. 62(2), pages 389-420, February.
    276. Pereira, John & Sorwar, Ghulam & Nurullah, Mohamed, 2018. "What drives corporate CDS spreads? A comparison across US, UK and EU firms," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 56(C), pages 188-200.
    277. Kaviani, Mahsa S. & Kryzanowski, Lawrence & Maleki, Hosein & Savor, Pavel, 2020. "Policy uncertainty and corporate credit spreads," Journal of Financial Economics, Elsevier, vol. 138(3), pages 838-865.

  2. Ericsson, Jan & Reneby, Joel, 2003. "Valuing Corporate Liabilities," SIFR Research Report Series 15, Institute for Financial Research.

    Cited by:

    1. Bhamra, Harjoat Singh & Kuehn, Lars-Alexander & Strebulaev, Ilya, 2018. "The Levered Equity Risk Premium and Credit Spreads: A Unified Framework," CEPR Discussion Papers 12827, C.E.P.R. Discussion Papers.
    2. Geir H. Bjønnes & Steinar Holden & Dagfinn Rime & Haakon O. Aa. Solheim, 2009. "'Large' vs. 'Small' Players: A Closer Look at the Dynamics of Speculative Attacks," CESifo Working Paper Series 2518, CESifo.
    3. Benjamin E. Hermalin & Michael S. Weisbach, 2012. "Information Disclosure and Corporate Governance," Journal of Finance, American Finance Association, vol. 67(1), pages 195-234, February.
    4. Duan, Jin-Chuan & Fulop, Andras, 2006. "Estimating the Structural Credit Risk Model When Equity Prices Are Contaminated by Trading Noises," ESSEC Working Papers DR 06015, ESSEC Research Center, ESSEC Business School.
    5. Akram, Q. Farooq & Rime, Dagfinn & Sarno, Lucio, 2006. "Arbitrage in the Foreign Exchange Market: Turning on the Microscope," SIFR Research Report Series 42, Institute for Financial Research.
    6. Jin-Chuan Duan & Andras Fulop, 2005. "Estimating the Structural Credit Risk Model When Equity Prices Are Contaminated by Trading Noises," CERS-IE WORKING PAPERS 0517, Institute of Economics, Centre for Economic and Regional Studies.
    7. Rydqvist, Kristian, 2010. "Tax Arbitrage with Risk and Effort Aversion - Swedish Lottery Bonds 1970-1990," SIFR Research Report Series 70, Institute for Financial Research.
    8. Duan, Jin-Chuan & Fulop, Andras, 2009. "Estimating the structural credit risk model when equity prices are contaminated by trading noises," Journal of Econometrics, Elsevier, vol. 150(2), pages 288-296, June.
    9. Dreber, Anna & Rand, David G. & Garcia, Justin R. & Wernerfelt, Nils & Lum, J. Koji & Zeckhauser, Richard, 2010. "Dopamine and Risk Preferences in Different Domains," SIFR Research Report Series 71, Institute for Financial Research.

  3. Reneby, Joel & Ericsson, Jan, 2001. "The Valuation of Corporate Liabilities: Theory and Tests," SSE/EFI Working Paper Series in Economics and Finance 445, Stockholm School of Economics, revised 07 Jan 2003.

    Cited by:

    1. Max Bruche, 2006. "Estimating Structural Models of Corporate Bond Prices," Working Papers wp2006_0610, CEMFI.
    2. Joao Teixeira, 2007. "An empirical analysis of structural models of corporate debt pricing," Applied Financial Economics, Taylor & Francis Journals, vol. 17(14), pages 1141-1165.
    3. Qiang Dai & Kenneth Singleton, 2003. "Term Structure Dynamics in Theory and Reality," The Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 631-678, July.
    4. Abel Elizalde, 2006. "Credit Risk Models III: Reconciliation Reduced – Structural Models," Working Papers wp2006_0607, CEMFI.
    5. Thorsell, Håkan, 2009. "Returns to Defaulted Corporate Bonds," SSE/EFI Working Paper Series in Business Administration 2009:7, Stockholm School of Economics.
    6. Hanke, Michael, 2005. "Pricing options on leveraged equity with default risk and exponentially increasing, finite maturity debt," Journal of Economic Dynamics and Control, Elsevier, vol. 29(3), pages 389-421, March.
    7. Marco Realdon, "undated". "Valuation of Put Options on Leveraged Equity," Discussion Papers 03/19, Department of Economics, University of York.
    8. Helmut Elsinger & Alfred Lehar & Martin Summer, 2006. "Systemically important banks: an analysis for the European banking system," International Economics and Economic Policy, Springer, vol. 3(1), pages 73-89, April.
    9. Robert Elliott & Jia Shen, 2015. "Dynamic optimal capital structure with regime switching," Annals of Finance, Springer, vol. 11(2), pages 199-220, May.
    10. Maclachlan, Iain C, 2007. "An empirical study of corporate bond pricing with unobserved capital structure dynamics," MPRA Paper 28416, University Library of Munich, Germany.
    11. Lehar, Alfred, 2005. "Measuring systemic risk: A risk management approach," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2577-2603, October.

  4. Olivier Renault & Jan Ericsson, 2000. "Liquidity and Credit Risk," FMG Discussion Papers dp362, Financial Markets Group.

    Cited by:

    1. Gady Jacoby & Chuan Liao & Jonathan A. Batten, 2007. "A Pure Test for the Elasticity of Yield Spreads," The Institute for International Integration Studies Discussion Paper Series iiisdp195, IIIS.
    2. Pascal Damel & Hoai An Le Thi & Nadège Peltre, 2016. "The challenge in managing new financial risks: adopting an heuristic or theoretical approach," Annals of Operations Research, Springer, vol. 247(2), pages 581-598, December.
    3. Landschoot, Astrid Van, 2008. "Determinants of yield spread dynamics: Euro versus US dollar corporate bonds," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2597-2605, December.
    4. Areski Cousin & Ying Jiao & Christian y Robert & Olivier David Zerbib, 2021. "Optimal asset allocation subject to withdrawal risk and solvency constraints," Working Papers hal-03244380, HAL.
    5. Alain Monfort & Jean-Paul Renne, 2010. "Default, Liquidity and Crises : An Econometric Framework," Working Papers 2010-46, Center for Research in Economics and Statistics.
    6. Smimou, K., 2017. "Does gold Liquidity learn from the greenback or the equity?," Research in International Business and Finance, Elsevier, vol. 41(C), pages 461-479.
    7. Décamps, Jean-Paul & Villeneuve, Stéphane, 2009. "Rethinking Dynamic Capital Structure Models with Roll-Over Debt," IDEI Working Papers 528, Institut d'Économie Industrielle (IDEI), Toulouse, revised Nov 2011.
    8. von Thadden, Ernst-Ludwig & Pagano, Marco & Favero, Carlo A., 2008. "How Does Liquidity Affect Government Bond Yields?," CEPR Discussion Papers 6649, C.E.P.R. Discussion Papers.
    9. Arakelyan, Armen & Serrano, Pedro, 2016. "Liquidity in Credit Default Swap Markets," Journal of Multinational Financial Management, Elsevier, vol. 37, pages 139-157.
    10. Halling, Michael & Yu, Jin & Zechner, Josef, 2016. "Leverage dynamics over the business cycle," Journal of Financial Economics, Elsevier, vol. 122(1), pages 21-41.
    11. Bethke, Sebastian & Kempf, Alexander & Trapp, Monika, 2014. "Investor sentiment, flight-to-quality, and corporate bond comovement," CFR Working Papers 13-06 [rev.], University of Cologne, Centre for Financial Research (CFR).
    12. Yu Zhao & Huaming Du & Qing Li & Fuzhen Zhuang & Ji Liu & Gang Kou, 2022. "A Comprehensive Survey on Enterprise Financial Risk Analysis from Big Data Perspective," Papers 2211.14997, arXiv.org, revised May 2023.
    13. Schuster, Philipp & Trapp, Monika & Uhrig-Homburg, Marliese, 2013. "A heterogeneous agents equilibrium model for the term structure of bond market liquidity," CFR Working Papers 13-05 [rev.], University of Cologne, Centre for Financial Research (CFR).
    14. Gómez-Puig, Marta & Pieterse-Bloem, Mary & Sosvilla-Rivero, Simón, 2023. "Dynamic connectedness between credit and liquidity risks in euro area sovereign debt markets," Journal of Multinational Financial Management, Elsevier, vol. 68(C).
    15. Kedar nath Mukherjee, 2019. "Demystifying Yield Spread on Corporate Bonds Trades in India," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(2), pages 253-284, June.
    16. Wang, Junbo & Wu, Chunchi, 2015. "Liquidity, credit quality, and the relation between volatility and trading activity: Evidence from the corporate bond market," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 183-203.
    17. Houweling, P. & Mentink, A.A. & Vorst, A.C.F., 2003. "Comparing possible proxies of corporate bond liquidity," Econometric Institute Research Papers EI 2003-49, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    18. Hangfei Guo & Mingming Leng & Yulan Wang, 2012. "Interchange fee rate, merchant discount rate, and retail price in a credit card network: A game‐theoretic analysis," Naval Research Logistics (NRL), John Wiley & Sons, vol. 59(7), pages 525-551, October.
    19. Marra, Miriam, 2015. "The impact of liquidity on senior credit index spreads during the subprime crisis," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 148-167.
    20. Xuanjuan Chen & Jing-Zhi Huang & Zhenzhen Sun & Tong Yao & Tong Yu, 2020. "Liquidity Premium in the Eye of the Beholder: An Analysis of the Clientele Effect in the Corporate Bond Market," Management Science, INFORMS, vol. 66(2), pages 932-957, February.
    21. Zhang, Jinqing & He, Liang & An, Yunbi, 2020. "Measuring banks’ liquidity risk: An option-pricing approach," Journal of Banking & Finance, Elsevier, vol. 111(C).
    22. Syed Muhammad Noaman Ahmed Shah & Mazen Kebewar, 2013. "US Corporate Bond Yield Spread : A default risk debate," Papers 1303.3391, arXiv.org.
    23. De Santis, Roberto A., 2012. "The Euro area sovereign debt crisis: safe haven, credit rating agencies and the spread of the fever from Greece, Ireland and Portugal," Working Paper Series 1419, European Central Bank.
    24. Frank Zhang, 2010. "An empirical analysis of alternative recovery risk models and implied recovery rates," Review of Derivatives Research, Springer, vol. 13(2), pages 101-124, July.
    25. Grothe, Magdalena, 2013. "Market pricing of credit rating signals," Working Paper Series 1623, European Central Bank.
    26. Deng, Yongheng & Gabriel, Stuart A. & Sanders, Anthony B., 2011. "CDO market implosion and the pricing of subprime mortgage-backed securities," Journal of Housing Economics, Elsevier, vol. 20(2), pages 68-80, June.
    27. Martínez, Miguel Ángel & Nieto, Belén & Rubio, Gonzalo, 2002. "Asset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock market," DEE - Working Papers. Business Economics. WB wb026022, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    28. Javadi, Siamak & Mollagholamali, Mohsen, 2018. "Debt market illiquidity and correlated default risk," Finance Research Letters, Elsevier, vol. 26(C), pages 266-273.
    29. Chang, Charles & Fuh, Cheng-Der & Kao, Chu-Lan Michael, 2017. "Reading between the ratings: Modeling residual credit risk and yield overlap," Journal of Banking & Finance, Elsevier, vol. 81(C), pages 114-135.
    30. Stephan, Andreas & Talavera, Oleksandr & Tsapin, Andriy, 2008. "Corporate Debt Maturity Choice in Transition Financial Markets," Working Paper Series in Economics and Institutions of Innovation 125, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies.
    31. Zhiguo He & Konstantin Milbradt, 2012. "Endogenous Liquidity and Defaultable Bonds," NBER Working Papers 18408, National Bureau of Economic Research, Inc.
    32. Hatem Ben-Ameur & Tarek Fakhfakh & Alexandre Roch, 2024. "Valuing Corporate Securities When the Firm’s Assets are Illiquid," Computational Economics, Springer;Society for Computational Economics, vol. 63(2), pages 579-598, February.
    33. Jappelli, Ruggero & Lucke, Konrad & Pelizzon, Loriana, 2022. "Price and liquidity discovery in European sovereign bonds and futures," SAFE Working Paper Series 350, Leibniz Institute for Financial Research SAFE.
    34. Chi-Fai Lo & Cho-Hoi Hui, 2016. "Pricing corporate bonds with interest rates following double square-root process," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(03), pages 1-31, September.
    35. Adachi-Sato, Meg & Vithessonthi, Chaiporn, 2019. "Corporate debt maturity and future firm performance volatility," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 216-237.
    36. Arcuri Maria Cristina & Gandolfi Gino & Monteux Manoux & Verga Giovanni, 2021. "The Relevance of Liquidity and Country Risk to Euro-Denominated Bonds and the Influence of ECB Monetary Policy," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 13(6), pages 1-1, June.
    37. Niu, Huawei & Hua, Wei, 2019. "An endogenous structural credit risk model incorporating with moral hazard and rollover risk," Economic Modelling, Elsevier, vol. 78(C), pages 47-59.
    38. Zhiguo He & Wei Xiong, 2012. "Rollover Risk and Credit Risk," Journal of Finance, American Finance Association, vol. 67(2), pages 391-430, April.
    39. Hsu, Feng-Jui & Chen, Sheng-Hung, 2021. "US quantitative easing and firm’s default risk: The role of Corporate Social Responsibility (CSR)," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 650-664.
    40. Field, Laura Casares & Mkrtchyan, Anahit & Wang, Yuan, 2022. "Bond liquidity and investment," Journal of Banking & Finance, Elsevier, vol. 145(C).
    41. Nakashima, Kiyotaka & Saito, Makoto, 2009. "Credit Spreads on Corporate Bonds and the Macroeconomy in Japan," MPRA Paper 89089, University Library of Munich, Germany.
    42. Lukas, Elmar & Thiergart, Sascha, 2019. "The interaction of debt financing, cash grants and the optimal investment policy under uncertainty," European Journal of Operational Research, Elsevier, vol. 276(1), pages 284-299.
    43. Diasakos, Theodoros M, 2013. "A Simple Characterization of Dynamic Completeness in Continuous Time," SIRE Discussion Papers 2013-91, Scottish Institute for Research in Economics (SIRE).
    44. Della Seta, Marco & Morellec, Erwan & Zucchi, Francesca, 2020. "Short-term debt and incentives for risk-taking," Journal of Financial Economics, Elsevier, vol. 137(1), pages 179-203.
    45. Díaz, Antonio & Escribano, Ana, 2020. "Measuring the multi-faceted dimension of liquidity in financial markets: A literature review," Research in International Business and Finance, Elsevier, vol. 51(C).
    46. Hayette Gatfaoui, 2006. "Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's Credit Risk Valuation," Post-Print hal-00589918, HAL.
    47. Allaudeen Hameed & Jean Helwege & Ran Li & Frank Packer, 2019. "Measuring corporate bond liquidity in emerging market economies: price- vs quantity-based measures," BIS Papers chapters, in: Bank for International Settlements (ed.), Asia-Pacific fixed income markets: evolving structure, participation and pricing, volume 102, pages 45-62, Bank for International Settlements.
    48. Georges Dionne & Olfa Maalaoui Chun, 2013. "Presidential Address: Default and liquidity regimes in the bond market during the 2002–2012 period," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 46(4), pages 1160-1195, November.
    49. Charlene P. Spiceland & Leo L. Yang & Joseph H. Zhang, 2016. "Accounting quality, debt covenant design, and the cost of debt," Review of Quantitative Finance and Accounting, Springer, vol. 47(4), pages 1271-1302, November.
    50. Bethke, Sebastian & Kempf, Alexander & Trapp, Monika, 2013. "The correlation puzzle: The interaction of bond and risk correlation," CFR Working Papers 13-06, University of Cologne, Centre for Financial Research (CFR).
    51. Ramaprasad Bhar, 2010. "Stochastic Filtering with Applications in Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7736, October.
    52. Gunay, Samet, 2020. "Seeking causality between liquidity risk and credit risk: TED-OIS spreads and CDS indexes," Research in International Business and Finance, Elsevier, vol. 52(C).
    53. Prabhas Kumar Rath, 2023. "Nexus Between Indian Financial Markets and Macro-economic Shocks: A VAR Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(1), pages 131-164, March.
    54. Albert Lee Chun & Ethan Namvar & Xiaoxia Ye & Fan Yu, 2019. "Modeling Municipal Yields With (and Without) Bond Insurance," Management Science, INFORMS, vol. 65(8), pages 3694-3713, August.
    55. Hugonnier, Julien & Malamud, Semyon & Morellec, Erwan, 2015. "Credit market frictions and capital structure dynamics," Journal of Economic Theory, Elsevier, vol. 157(C), pages 1130-1158.
    56. Rong Huang & Xintian Lin & Yuan Xie, 2023. "Does CDS market price intangible asset value? Evidence from SG&A expenditure," Review of Quantitative Finance and Accounting, Springer, vol. 61(2), pages 701-728, August.
    57. Song Han & Hao Zhou, 2011. "Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data," Working Papers 022011, Hong Kong Institute for Monetary Research.
    58. Markus Herrmann & Martin Hibbeln, 2023. "Trading and liquidity in the catastrophe bond market," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 90(2), pages 283-328, June.
    59. Schuster, Philipp & Uhrig-Homburg, Marliese, 2012. "The term structure of bond market liquidity conditional on the economic environment: An analysis of government guaranteed bonds," Working Paper Series in Economics 45, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
    60. Schuster, Philipp & Trapp, Monika & Uhrig-Homburg, Marliese, 2013. "A heterogeneous agents equilibrium model for the term structure of bond market liquidity," CFR Working Papers 13-05, University of Cologne, Centre for Financial Research (CFR).
    61. Rösch, Christoph G. & Kaserer, Christoph, 2014. "Reprint of: Market liquidity in the financial crisis: The role of liquidity commonality and flight-to-quality," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 152-170.
    62. Pilar Abad & M. Dolores Robles & Gare Cuervo, 2013. "Changes in Corporate Debt Ratings and Stock Liquidity: Evidence from the Spanish Market," Documentos de Trabajo del ICAE 2013-11, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    63. Helberg, Stig & Lindset, Snorre, 2016. "Risk protection from risky collateral: Evidence from the euro bond market," Journal of Banking & Finance, Elsevier, vol. 70(C), pages 193-213.
    64. Diepold, Dennis, 2011. "Zum Einfluss kurzfristiger Fremdfinanzierungsmöglichkeiten auf die Portfoliooptimierung mit illiquiden Assets," Die Unternehmung - Swiss Journal of Business Research and Practice, Nomos Verlagsgesellschaft mbH & Co. KG, vol. 65(4), pages 380-401.
    65. Hayette Gatfaoui, 2003. "How Does Systematic Risk Impact US Credit Spreads? A Copula Study," Risk and Insurance 0308002, University Library of Munich, Germany.
    66. Mathur, Ike & Singh, Manohar & Nejadmalayeri, Ali & Jiraporn, Pornsit, 2013. "How do bond investors perceive dividend payouts?," Research in International Business and Finance, Elsevier, vol. 27(1), pages 92-105.
    67. J.L. Prigent & O. Renault & O.Scaillet, 2000. "An Empirical Estimation in Credit Spread Indices," THEMA Working Papers 2000-51, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    68. Alessandro Beber & Michael W. Brandt & Kenneth A. Kavajecz, 2009. "Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market," The Review of Financial Studies, Society for Financial Studies, vol. 22(3), pages 925-957, March.
    69. Bethke, Sebastian & Gehde-Trapp, Monika & Kempf, Alexander, 2014. "Investor sentiment, flight-to-quality, and corporate bond comovement," CFR Working Papers 13-06 [rev.2], University of Cologne, Centre for Financial Research (CFR).
    70. Nancy Masschelein & Kostas Tsatsaronis, 2008. "Measuring default risk in the trading book," Financial Stability Review, National Bank of Belgium, vol. 6(1), pages 163-172, June.
    71. Marco Realdon, "undated". "Corporate Bond Valuation with Both Expected and Unexpected Default," Discussion Papers 03/21, Department of Economics, University of York.
    72. Armanious, Amir & Zhao, Ruoyun, 2024. "Stock liquidity effect on leverage: The role of debt security, financial constraint, and risk around the global financial crisis and Covid-19 pandemic," International Review of Financial Analysis, Elsevier, vol. 92(C).
    73. Baviera, Roberto & Nassigh, Aldo & Nastasi, Emanuele, 2021. "A closed formula for illiquid corporate bonds and an application to the European market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 71(C).
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    75. Bühler, Wolfgang & Trapp, Monika, 2009. "Time-varying credit risk and liquidity premia in bond and CDS markets," CFR Working Papers 09-13, University of Cologne, Centre for Financial Research (CFR).
    76. Bethke, Sebastian & Gehde-Trapp, Monika & Kempf, Alexander, 2017. "Investor sentiment, flight-to-quality, and corporate bond comovement," Journal of Banking & Finance, Elsevier, vol. 82(C), pages 112-132.
    77. Kalimipalli, Madhu & Nayak, Subhankar, 2012. "Idiosyncratic volatility vs. liquidity? Evidence from the US corporate bond market," Journal of Financial Intermediation, Elsevier, vol. 21(2), pages 217-242.
    78. Kempf, Alexander & Korn, Olaf & Uhrig-Homburg, Marliese, 2012. "The term structure of illiquidity premia," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1381-1391.
    79. Kucuk, Ugur N., 2010. "Non-default Component of Sovereign Emerging Market Yield Spreads and its Determinants: Evidence from Credit Default Swap Market," MPRA Paper 27428, University Library of Munich, Germany.
    80. Chen, Ting-Hsuan & Chou, Hsiu-Hsia & Chang, Yuan & Fang, Hao, 2015. "The effect of excess lending on bank liquidity : Evidence from China," International Review of Economics & Finance, Elsevier, vol. 36(C), pages 54-68.
    81. Peter Christoffersen & Du Du & Redouane Elkamhi, 2013. "Rare Disasters and Credit Market Puzzles," CREATES Research Papers 2013-45, Department of Economics and Business Economics, Aarhus University.
    82. Kalimipalli, Madhu & Nayak, Subhankar & Perez, M. Fabricio, 2013. "Dynamic effects of idiosyncratic volatility and liquidity on corporate bond spreads," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2969-2990.
    83. Tu, Anthony H. & Chen, Cathy Yi-Hsuan, 2018. "A factor-based approach of bond portfolio value-at-risk: The informational roles of macroeconomic and financial stress factors," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 243-268.
    84. Calice, Giovanni, 2011. "The Impact of Collateral Policies on Sovereign CDS Spreads," ECMI Papers 12234, Centre for European Policy Studies.
    85. Lin, Mucai & Hong, Zhiwu & Su, Ge, 2024. "Transmission of liquidity and credit risks in the Chinese bond market: Analysis based on joint modeling of multiple yield curves," International Review of Economics & Finance, Elsevier, vol. 91(C), pages 597-615.
    86. Gemmill, Gordon & Keswani, Aneel, 2011. "Downside risk and the size of credit spreads," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 2021-2036, August.
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    88. Tu, Anthony H. & Chen, Cathy Yi-Hsuan, 2016. "What derives the bond portfolio value-at-risk: Information roles of macroeconomic and financial stress factors," SFB 649 Discussion Papers 2016-006, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
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    95. Dick-Nielsen, Jens & Feldhütter, Peter & Lando, David, 2012. "Corporate bond liquidity before and after the onset of the subprime crisis," Journal of Financial Economics, Elsevier, vol. 103(3), pages 471-492.
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  5. Ericsson, Jan & Reneby, Joel, 1999. "A Note on Contingent Claims Pricing with Non-Traded Assets," SSE/EFI Working Paper Series in Economics and Finance 314, Stockholm School of Economics, revised 01 Jul 2002.

    Cited by:

    1. Andrew T. Levin & Fabio M. Natalucci & Egon Zakrajšek, 2004. "The magnitude and cyclical behavior of financial market frictions," Finance and Economics Discussion Series 2004-70, Board of Governors of the Federal Reserve System (U.S.).
    2. Vladimir Yankov & Egon Zakrajsek & Simon Gilchrist, 2009. "Credit Market Shocks and Economic Fluctuations: Evidence from Corporate Bond and Stock Markets," 2009 Meeting Papers 514, Society for Economic Dynamics.
    3. Jawwad Noor, 2007. "Hyperbolic Discounting and the Standard Model," Boston University - Department of Economics - Working Papers Series WP2007-028, Boston University - Department of Economics.
    4. Reneby, Joel & Ericsson, Jan, 2001. "The Valuation of Corporate Liabilities: Theory and Tests," SSE/EFI Working Paper Series in Economics and Finance 445, Stockholm School of Economics, revised 07 Jan 2003.
    5. Ericsson, Jan & Reneby, Joel, 2003. "Valuing Corporate Liabilities," SIFR Research Report Series 15, Institute for Financial Research.

  6. Ericsson, Jan & Reneby, Joel, 1996. "Stock Options as Barrier Contingent Claims," SSE/EFI Working Paper Series in Economics and Finance 137, Stockholm School of Economics, revised Sep 2002.

    Cited by:

    1. Reindl, Johann & Stoughton, Neal & Zechner, Josef, 2013. "Market implied costs of bankruptcy," CFS Working Paper Series 2013/27, Center for Financial Studies (CFS).
    2. Hanke, Michael, 2005. "Pricing options on leveraged equity with default risk and exponentially increasing, finite maturity debt," Journal of Economic Dynamics and Control, Elsevier, vol. 29(3), pages 389-421, March.
    3. Marco Realdon, "undated". "Valuation of Put Options on Leveraged Equity," Discussion Papers 03/19, Department of Economics, University of York.
    4. Rossella Agliardi, 2011. "A comprehensive structural model for defaultable fixed-income bonds," Quantitative Finance, Taylor & Francis Journals, vol. 11(5), pages 749-762.
    5. Michele Bufalo & Antonio Di Bari & Giovanni Villani, 2022. "Multi-stage real option evaluation with double barrier under stochastic volatility and interest rate," Annals of Finance, Springer, vol. 18(2), pages 247-266, June.
    6. Maria Carmen Badia Batlle & M. Mercedes Galisteo Rodriguez & M. Teresa Preixens Benedicto, 2006. "Un modelo de riesgo de credito basado en opciones compuestas con barrera. Aplicacion al mercado continuo espanol," Working Papers in Economics 156, Universitat de Barcelona. Espai de Recerca en Economia.

  7. Ericsson, Jan & Reneby, Joel, 1995. "A Framework for Valuing Corporate Securities," SSE/EFI Working Paper Series in Economics and Finance 89, Stockholm School of Economics, revised 03 Dec 1998.

    Cited by:

    1. Reindl, Johann & Stoughton, Neal & Zechner, Josef, 2013. "Market implied costs of bankruptcy," CFS Working Paper Series 2013/27, Center for Financial Studies (CFS).
    2. Alibeiki, Hedayat & Lotfaliei, Babak, 2022. "To expand and to abandon: Real options under asset variance risk premium," European Journal of Operational Research, Elsevier, vol. 300(2), pages 771-787.
    3. Hilscher, Jens & Raviv, Alon, 2014. "Bank stability and market discipline: The effect of contingent capital on risk taking and default probability," Journal of Corporate Finance, Elsevier, vol. 29(C), pages 542-560.
    4. Shibata, Takashi & Tian, Yuan, 2012. "Debt reorganization strategies with complete verification under information asymmetry," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 141-160.
    5. Lotfaliei, Babak, 2018. "Zero leverage and the value in waiting to have debt," Journal of Banking & Finance, Elsevier, vol. 97(C), pages 335-349.
    6. Hirth, Stefan & Uhrig-Homburg, Marliese, 2009. "Investment Timing, Liquidity, and Agency Costs of Debt," Finance Research Group Working Papers F-2009-04, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    7. Marco Realdon, 2006. "Book Values and Market Values of Equity and Debt," Discussion Papers 06/11, Department of Economics, University of York.
    8. Ayadi, Mohamed A. & Ben-Ameur, Hatem & Fakhfakh, Tarek, 2016. "A dynamic program for valuing corporate securities," European Journal of Operational Research, Elsevier, vol. 249(2), pages 751-770.
    9. Jan Ericsson & Joel Reneby, 2003. "Stock options as barrier contingent claims," Applied Mathematical Finance, Taylor & Francis Journals, vol. 10(2), pages 121-147.
    10. Zvan, R. & Vetzal, K. R. & Forsyth, P. A., 2000. "PDE methods for pricing barrier options," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1563-1590, October.
    11. Kanak Patel & Ricardo Pereira, 2008. "Pricing Property Index Linked Swaps with Counterparty Default Risk," The Journal of Real Estate Finance and Economics, Springer, vol. 36(1), pages 5-21, January.
    12. Kanak Patel & Ricardo Pereira, 2007. "Expected Default Probabilities in Structural Models: Empirical Evidence," The Journal of Real Estate Finance and Economics, Springer, vol. 34(1), pages 107-133, January.
    13. Dan Galai & Alon Raviv & Zvi Wiener, 2003. "Liquidation Triggers and the Valuation of Equity and Debt," Finance 0305002, University Library of Munich, Germany.
    14. Marco Realdon, 2006. "Valuation of the Firm's Liabilities when Equity Holders are also Creditors," Discussion Papers 06/16, Department of Economics, University of York.
    15. Marco Realdon, "undated". "Corporate Bond Valuation with Both Expected and Unexpected Default," Discussion Papers 03/21, Department of Economics, University of York.
    16. Marco Realdon, 2007. "An Extended Structural Credit Risk Model (forthcoming in the Icfai Journal of Financial Risk Management; all copyrights rest with the Icfai University Press)," Discussion Papers 07/26, Department of Economics, University of York.
    17. Malek Ben-Abdellatif & Hatem Ben-Ameur & Rim Chérif & Bruno Rémillard, 2024. "A two-factor structural model for valuing corporate securities," Review of Derivatives Research, Springer, vol. 27(2), pages 203-225, July.
    18. Saa-Requejo, Jesus & Santa-Clara, Pedro, 1997. "Bond Pricing with Default Risk," University of California at Los Angeles, Anderson Graduate School of Management qt3w71g2ch, Anderson Graduate School of Management, UCLA.
    19. Brockman, Paul & Turtle, H. J., 2003. "A barrier option framework for corporate security valuation," Journal of Financial Economics, Elsevier, vol. 67(3), pages 511-529, March.
    20. Mr. Iryna V. Ivaschenko, 2003. "How Much Leverage is too Much, or Does Corporate Risk Determine the Severity of a Recession?," IMF Working Papers 2003/003, International Monetary Fund.
    21. Hanke, Michael, 2005. "Pricing options on leveraged equity with default risk and exponentially increasing, finite maturity debt," Journal of Economic Dynamics and Control, Elsevier, vol. 29(3), pages 389-421, March.
    22. Reneby, Joel & Ericsson, Jan, 2001. "The Valuation of Corporate Liabilities: Theory and Tests," SSE/EFI Working Paper Series in Economics and Finance 445, Stockholm School of Economics, revised 07 Jan 2003.
    23. Raviv, Alon & Sisli-Ciamarra, Elif, 2013. "Executive compensation, risk taking and the state of the economy," Journal of Financial Stability, Elsevier, vol. 9(1), pages 55-68.
    24. Lotfaliei, Babak, 2018. "The variance risk premium and capital structure," ESRB Working Paper Series 70, European Systemic Risk Board.
    25. Petra Andrlikova, 2014. "Is Barrier version of Merton model more realistic? Evidence from Europe," Proceedings of International Academic Conferences 0801868, International Institute of Social and Economic Sciences.
    26. Hangsuck Lee & Hongjun Ha & Minha Lee, 2022. "Piecewise linear boundary crossing probabilities, barrier options, and variable annuities," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(12), pages 2248-2272, December.
    27. Haddad, Kamal & Lotfaliei, Babak, 2019. "Trade-off theory and zero leverage," Finance Research Letters, Elsevier, vol. 31(C), pages 165-170.
    28. Bruche, Max, 2005. "Estimating structural bond pricing models via simulated maximum likelihood," LSE Research Online Documents on Economics 24647, London School of Economics and Political Science, LSE Library.
    29. Abínzano, Isabel & Seco, Luis & Escobar, Marcos & Olivares, Pablo, 2009. "Single and Double Black-Cox: Two approaches for modelling debt restructuring," Economic Modelling, Elsevier, vol. 26(5), pages 910-917, September.
    30. Bruche, Max, 2002. "A structural model of corporate bond pricing with co-ordination failure," LSE Research Online Documents on Economics 24930, London School of Economics and Political Science, LSE Library.
    31. Alon Raviv, 2004. "Bank Stability and Market Discipline: Debt-for-Equity Swap versus Subordinated Notes," Finance 0408003, University Library of Munich, Germany.
    32. Michele Bufalo & Antonio Di Bari & Giovanni Villani, 2022. "Multi-stage real option evaluation with double barrier under stochastic volatility and interest rate," Annals of Finance, Springer, vol. 18(2), pages 247-266, June.
    33. Marco Realdon, "undated". "About Debt and the Option to Extend Debt Maturity," Discussion Papers 03/20, Department of Economics, University of York.
    34. Alex Backwell & Thomas A. McWalter & Peter H. Ritchken, 2022. "On buybacks, dilutions, dividends, and the pricing of stock‐based claims," Mathematical Finance, Wiley Blackwell, vol. 32(1), pages 273-308, January.
    35. Maria Carmen Badia Batlle & M. Mercedes Galisteo Rodriguez & M. Teresa Preixens Benedicto, 2006. "Un modelo de riesgo de credito basado en opciones compuestas con barrera. Aplicacion al mercado continuo espanol," Working Papers in Economics 156, Universitat de Barcelona. Espai de Recerca en Economia.
    36. Wang, Chuan-Ju & Dai, Tian-Shyr & Lyuu, Yuh-Dauh, 2014. "Evaluating corporate bonds with complicated liability structures and bond provisions," European Journal of Operational Research, Elsevier, vol. 237(2), pages 749-757.

Articles

  1. Ericsson, Jan & Jacobs, Kris & Oviedo, Rodolfo, 2009. "The Determinants of Credit Default Swap Premia," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(1), pages 109-132, February.
    See citations under working paper version above.
  2. Jan Ericsson & Olivier Renault, 2006. "Liquidity and Credit Risk," Journal of Finance, American Finance Association, vol. 61(5), pages 2219-2250, October.
    See citations under working paper version above.
  3. Jan Ericsson & Joel Reneby, 2005. "Estimating Structural Bond Pricing Models," The Journal of Business, University of Chicago Press, vol. 78(2), pages 707-735, March.

    Cited by:

    1. Annabi, Amira & Breton, Michèle & François, Pascal, 2012. "Resolution of financial distress under Chapter 11," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1867-1887.
    2. Max Bruche, 2006. "Estimating Structural Models of Corporate Bond Prices," Working Papers wp2006_0610, CEMFI.
    3. A. W. Rathgeber & J. Stadler & S. Stöckl, 2021. "The impact of the leverage effect on the implied volatility smile: evidence for the German option market," Review of Derivatives Research, Springer, vol. 24(2), pages 95-133, July.
    4. International Monetary Fund, 2011. "United Kingdom: Stress Testing the Banking Sector Technical Note," IMF Staff Country Reports 2011/227, International Monetary Fund.
    5. Reindl, Johann & Stoughton, Neal & Zechner, Josef, 2013. "Market implied costs of bankruptcy," CFS Working Paper Series 2013/27, Center for Financial Studies (CFS).
    6. Guo, Hongling & Sun, Yue & Qiu, Xuemei, 2021. "Cross-shareholding network and corporate bond financing cost in China," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    7. Bartram, Söhnke M. & Brown, Gregory W. & Hund, John E., 2005. "Estimating Systemic Risk in the International Financial System," MPRA Paper 6658, University Library of Munich, Germany.
    8. Karan Bhanot & Antonio S. Mello, 2009. "“Stock PIKs”- Taking a firm by its tails," Working Papers 0072, College of Business, University of Texas at San Antonio.
    9. Bougias, Alexandros & Episcopos, Athanasios & Leledakis, George N., 2022. "The role of asset payouts in the estimation of default barriers," International Review of Financial Analysis, Elsevier, vol. 81(C).
    10. João Pedro Pereira & António Rua, 2018. "Asset Pricing with a Bank Risk Factor," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(5), pages 993-1032, August.
    11. Realdon, Marco, 2006. "Quadratic term structure models in discrete time," Finance Research Letters, Elsevier, vol. 3(4), pages 277-289, December.
    12. Davide E Avino & Enrique Salvador, 2024. "Contingent Claims and Hedging of Credit Risk with Equity Options," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 14(2), pages 310-348.
    13. Zhou, Xinghua & Reesor, R. Mark, 2015. "Misrepresentation and capital structure: Quantifying the impact on corporate debt value," Journal of Corporate Finance, Elsevier, vol. 34(C), pages 293-310.
    14. Duan, Jin-Chuan & Fulop, Andras, 2006. "Estimating the Structural Credit Risk Model When Equity Prices Are Contaminated by Trading Noises," ESSEC Working Papers DR 06015, ESSEC Research Center, ESSEC Business School.
    15. Stephanie Heck, 2022. "Corporate bond yields and returns: a survey," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(2), pages 179-201, June.
    16. Abel Elizalde, 2006. "Credit Risk Models III: Reconciliation Reduced – Structural Models," Working Papers wp2006_0607, CEMFI.
    17. Jobst, Andreas A., 2014. "Measuring systemic risk-adjusted liquidity (SRL)—A model approach," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 270-287.
    18. Kanak Patel & Ricardo Pereira, 2007. "Expected Default Probabilities in Structural Models: Empirical Evidence," The Journal of Real Estate Finance and Economics, Springer, vol. 34(1), pages 107-133, January.
    19. Jing-zhi Huang & Hao Zhou, 2008. "Specification analysis of structural credit risk models," Finance and Economics Discussion Series 2008-55, Board of Governors of the Federal Reserve System (U.S.).
    20. Hoi Ying Wong & Tsz Wang Choi, 2009. "Estimating default barriers from market information," Quantitative Finance, Taylor & Francis Journals, vol. 9(2), pages 187-196.
    21. Dionne, Georges & Laajimi, Sadok, 2012. "On the determinants of the implied default barrier," Journal of Empirical Finance, Elsevier, vol. 19(3), pages 395-408.
    22. Jing-Zhi Huang & Bibo Liu & Zhan Shi, 2023. "Determinants of Short-Term Corporate Yield Spreads: Evidence from the Commercial Paper Market," Review of Finance, European Finance Association, vol. 27(2), pages 539-579.
    23. Fulop, Andras, 2006. "Feedback Effects of Rating Downgrades," ESSEC Working Papers DR 06016, ESSEC Research Center, ESSEC Business School.
    24. Alina Sima (Grigore) & Alin Sima, 2011. "Distance to Default Estimates for Romanian Listed Companies," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 3(2), pages 091-106, December.
    25. Chuang-Chang Chang & Ruey-Jenn Ho, 2017. "Risk-Shifting Behavior At Commercial Banks With Different Deposit Insurance Assessments: Further Evidence From U.S. Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 40(1), pages 55-80, March.
    26. Marco Realdon, 2006. "Valuation of the Firm's Liabilities when Equity Holders are also Creditors," Discussion Papers 06/16, Department of Economics, University of York.
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