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Asset Prices and Default-Free Term Structure in an Equilibrium Model of Default

Author

Listed:
  • Chang, G.
  • Sundaresan, S.M.

Abstract

We present an equilibrium framework in which asset prices, default-free term structure and default premia are determined simultaneously.

Suggested Citation

  • Chang, G. & Sundaresan, S.M., 1999. "Asset Prices and Default-Free Term Structure in an Equilibrium Model of Default," Papers 99-4, Columbia - Graduate School of Business.
    • Handle: RePEc:fth:colubu:99-4
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    Citations

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    Cited by:

    1. Andriy Demchuk, 2002. "Portfolio Optimization with Concave Transaction Costs," FAME Research Paper Series rp103, International Center for Financial Asset Management and Engineering.
    2. Ludvigson, Sydney C. & Ng, Serena, 2007. "The empirical risk-return relation: A factor analysis approach," Journal of Financial Economics, Elsevier, vol. 83(1), pages 171-222, January.
    3. Linda Allen & Anthony Saunders, 2004. "Incorporating Systemic Influences Into Risk Measurements: A Survey of the Literature," Journal of Financial Services Research, Springer;Western Finance Association, vol. 26(2), pages 161-191, October.
    4. Andriy DEMCHUK,, 2003. "Sovereign Debt Contract and Optimal Consumption-Investment Strategies," FAME Research Paper Series rp104, International Center for Financial Asset Management and Engineering.
    5. Martin Lettau & Sydney Ludvigson, 2001. "Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying," Journal of Political Economy, University of Chicago Press, vol. 109(6), pages 1238-1287, December.
    6. Linda Allen & Anthony Saunders, 2003. "A survey of cyclical effects in credit risk measurement model," BIS Working Papers 126, Bank for International Settlements.
    7. Suresh M. Sundaresan, 2000. "Continuous‐Time Methods in Finance: A Review and an Assessment," Journal of Finance, American Finance Association, vol. 55(4), pages 1569-1622, August.
    8. Roger WALDER, 2002. "Interactions Between Market and Credit Risk: Modeling the Joint Dynamics of Default-Free and Defaultable Bond Term Structures," FAME Research Paper Series rp56, International Center for Financial Asset Management and Engineering.

    More about this item

    Keywords

    FINANCIAL MARKET ; PRICES;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G19 - Financial Economics - - General Financial Markets - - - Other
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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