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A Simple Approach to Valuing Risky Fixed and Floating Rate Debt

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Cited by:

  1. Bongaerts, Dion & Charlier, Erwin, 2009. "Private equity and regulatory capital," Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1211-1220, July.
  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. Dailami, Mansoor & Hauswald, Robert, 2000. "Risk shifting and long-term contracts : evidence from the Ras Gas Project," Policy Research Working Paper Series 2469, The World Bank.
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  5. Azamat Abdymomunov & Kyu Ho Kang & Ki Jeong Kim, 2014. "Forecasting the Term Structure of Government Bond Yields Using Credit Spreads and Structural Breaks," Working Papers 2014-19, Economic Research Institute, Bank of Korea.
  6. Catherine Refait, 2000. "Estimation du risque de défaut par une modélisation stochastique du bilan : Application à des firmes industrielles françaises," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-03718527, HAL.
  7. Dung T. T. Tran & Hieu V. Phan, 2022. "Government economic policy uncertainty and corporate debt contracting," International Review of Finance, International Review of Finance Ltd., vol. 22(1), pages 169-199, March.
  8. 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.
  9. Anne-Laure Delatte & Julien Fouquau & Richard Portes, 2014. "Nonlinearities in sovereign risk pricing the role of cds index contracts," SciencePo Working papers Main hal-03460263, HAL.
  10. Mohammadreza Janvisloo Alizadeh & Reza Sherafatian-Jahromi, 2017. "Merton Model and Capital Measurement in Commercial Banks: A Case Study of Selected Emerging Countries in Southeast Asia," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 24(3), pages 169-191, September.
  11. Dilip Madan & Haluk Unal, 1996. "Pricing the Risks of Default," Center for Financial Institutions Working Papers 94-16, Wharton School Center for Financial Institutions, University of Pennsylvania.
  12. Goto, Makoto & Suzuki, Teruyoshi, 2015. "Optimal default and liquidation with tangible assets and debt renegotiation," Review of Financial Economics, Elsevier, vol. 27(C), pages 16-27.
  13. Liuren Wu & Frank X. Zhang, 2005. "A no-arbitrage analysis of economic determinants of the credit spread term structure," Finance and Economics Discussion Series 2005-59, Board of Governors of the Federal Reserve System (U.S.).
  14. Bhanot, Karan & Mansi, Sattar A. & Wald, John K., 2010. "Takeover risk and the correlation between stocks and bonds," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 381-393, June.
  15. 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.
  16. Zvika Afik & Ohad Arad & Koresh Galil, 2012. "Using Merton model: an empirical assessment of alternatives," Working Papers 1202, Ben-Gurion University of the Negev, Department of Economics.
  17. Kwamie Dunbar, . "An Empirical Review of United States Corporate Default Swap Valuation: The Implications of Functional Forms," Fordham Economics Dissertations, Fordham University, Department of Economics, number 2005.2.
  18. Zhuoshi Liu & Peter Spencer, 2009. "An Admissible Term Structure Model Of Sovereign Yield Spreads With Macro Factors: The Case Of Brazilian Global Bonds," Manchester School, University of Manchester, vol. 77(s1), pages 108-125, September.
  19. Laura Ballotta & Ioannis Kyriakou, 2015. "Convertible bond valuation in a jump diffusion setting with stochastic interest rates," Quantitative Finance, Taylor & Francis Journals, vol. 15(1), pages 115-129, January.
  20. Gurdip Bakshi & Dilip B. Madan & Frank X. Zhang, 2001. "Understanding the role of recovery in default risk models: empirical comparisons and implied recovery rates," Finance and Economics Discussion Series 2001-37, Board of Governors of the Federal Reserve System (U.S.).
  21. Hege, U. & Mella-Barral, P., 1999. "Collateral, Renegotiation and the Value of Diffusely Held Debt," Discussion Paper 1999-94, Tilburg University, Center for Economic Research.
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  23. Ulrich Hege & Pierre Mella-Barral, 2005. "Repeated Dilution of Diffusely Held Debt," The Journal of Business, University of Chicago Press, vol. 78(3), pages 737-786, May.
  24. 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.
  25. Francis A. Longstaff & Sanjay Mithal & Eric Neis, 2005. "Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market," Journal of Finance, American Finance Association, vol. 60(5), pages 2213-2253, October.
  26. Bystrom, Hans & Kwon, Oh Kang, 2007. "A simple continuous measure of credit risk," International Review of Financial Analysis, Elsevier, vol. 16(5), pages 508-523.
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  28. James Kau & Luke Peters, 2005. "The Effect of Mortgage Price and Default Risk on Mortgage Spreads," The Journal of Real Estate Finance and Economics, Springer, vol. 30(3), pages 285-295, April.
  29. Carol Alexandra & Jacques Pezier, 2003. "On the Aggregation of Market and Credit Risks," ICMA Centre Discussion Papers in Finance icma-dp2003-13, Henley Business School, University of Reading.
  30. Schöbel, Rainer, 1997. "A note on the valuation of risky corporate bonds," Tübinger Diskussionsbeiträge 96, University of Tübingen, School of Business and Economics.
  31. Cremers, Martijn & Driessen, Joost & Maenhout, Pascal & Weinbaum, David, 2008. "Individual stock-option prices and credit spreads," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2706-2715, December.
  32. 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.
  33. Avouyi-Dovi, S. & Jondeau, E., 1999. "Modelling the French Swap Spread," Working papers 65, Banque de France.
  34. Sebastian Utz & Martina Weber & Maximilian Wimmer, 2016. "German Mittelstand bonds: yield spreads and liquidity," Journal of Business Economics, Springer, vol. 86(1), pages 103-129, January.
  35. Suresh Sundaresan & Neng Wang & Jinqiang Yang, 2015. "Dynamic Investment, Capital Structure, and Debt Overhang," The Review of Corporate Finance Studies, Society for Financial Studies, vol. 4(1), pages 1-42.
  36. van Landschoot, A., 2003. "The Term Structure of Credit Spreads on Euro Corporate Bonds," Discussion Paper 2003-046, Tilburg University, Center for Economic Research.
  37. Batten, Jonathan & Hogan, Warren, 2002. "A perspective on credit derivatives," International Review of Financial Analysis, Elsevier, vol. 11(3), pages 251-278.
  38. Zhiwei Zhang, 2002. "Corporate Bond Spreads and the Business Cycle," Staff Working Papers 02-15, Bank of Canada.
  39. Nystrom, Kaj & Skoglund, Jimmy, 2006. "A credit risk model for large dimensional portfolios with application to economic capital," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2163-2197, August.
  40. repec:spo:wpmain:info:hdl:2441/6b3bdv9unt9mspi3ri2ff917d6 is not listed on IDEAS
  41. Haddou, Samira, 2024. "Determinants of CDS in core and peripheral European countries: A comparative study during crisis and calm periods," The North American Journal of Economics and Finance, Elsevier, vol. 71(C).
  42. Wang, Liyao, 2024. "Partisan conflict and corporate credit spreads: The role of political connection," Journal of Corporate Finance, Elsevier, vol. 84(C).
  43. 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.
  44. Bernd Schwaab & Siem Jan Koopman & André Lucas, 2017. "Global Credit Risk: World, Country and Industry Factors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(2), pages 296-317, March.
  45. Ilya A. Strebulaev, 2007. "Do Tests of Capital Structure Theory Mean What They Say?," Journal of Finance, American Finance Association, vol. 62(4), pages 1747-1787, August.
  46. Duarte, Jefferson & Longstaff, Francis A. & Yu, Fan, 2005. "Risk and Return in Fixed Income Arbitage: Nickels in Front of a Steamroller?," University of California at Los Angeles, Anderson Graduate School of Management qt6zx6m7fp, Anderson Graduate School of Management, UCLA.
  47. Xiao, Tim, 2018. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," FrenXiv ds7zj, Center for Open Science.
  48. Kinateder, Harald & Papavassiliou, Vassilios G., 2019. "Sovereign bond return prediction with realized higher moments," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 62(C), pages 53-73.
  49. Daniel Rösch & Harald Scheule, 2011. "Securitization rating performance and agency incentives," BIS Papers chapters, in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 287-314, Bank for International Settlements.
  50. Jeremy Leake, 2003. "Credit spreads on sterling corporate bonds and the term structure of UK interest rates," Bank of England working papers 202, Bank of England.
  51. Andrew Matacz, 2000. "Path dependent option pricing: the path integral partial averaging method," Science & Finance (CFM) working paper archive 500034, Science & Finance, Capital Fund Management.
  52. Anderson, Ronald W. & Tu, Cheng, 1996. "Numerical analysis of strategic contingent claims models," LIDAM Discussion Papers IRES 1997004, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), revised 00 Jan 1997.
  53. Maxime Merli & Alain Schatt, 2007. "Are there contagion or competition effects for non rated firms?The case of successive bond rating downgrades of Alcatel," Working Papers CREGO 1070603, Université de Bourgogne - CREGO EA7317 Centre de recherches en gestion des organisations.
  54. International Monetary Fund, 2011. "United Kingdom: Stress Testing the Banking Sector Technical Note," IMF Staff Country Reports 2011/227, International Monetary Fund.
  55. Tian-Shyr Dai & Chun-Yuan Chiu, 2013. "Pricing barrier stock options with discrete dividends by approximating analytical formulae," Quantitative Finance, Taylor & Francis Journals, vol. 14(8), pages 1367-1382, October.
  56. Massimo Guidolin & Alexei G. Orlov & Manuela Pedio, 2014. "Understanding the Impact of Monetary Policy Shocks on the Corporate Bond Market in Good and Bad Times: A Markov Switching Model," BAFFI CAREFIN Working Papers 1623, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  57. Jakub Seidler & Petr Jakubík, 2009. "Implied Market Loss Given Default in the Czech Republic: Structural-Model Approach," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 59(1), pages 20-40, January.
  58. Guidolin, Massimo & Tam, Yu Man, 2013. "A yield spread perspective on the great financial crisis: Break-point test evidence," International Review of Financial Analysis, Elsevier, vol. 26(C), pages 18-39.
  59. Zhijian (James) Huang & Yuchen Luo, 2016. "Revisiting Structural Modeling of Credit Risk—Evidence from the Credit Default Swap (CDS) Market," JRFM, MDPI, vol. 9(2), pages 1-20, May.
  60. Frieda Rikkers & Andre E. Thibeault, 2009. "A Structural form Default Prediction Model for SMEs, Evidence from the Dutch Market," Multinational Finance Journal, Multinational Finance Journal, vol. 13(3-4), pages 229-264, September.
  61. Badaoui, Saad & Cathcart, Lara & El-Jahel, Lina, 2013. "Do sovereign credit default swaps represent a clean measure of sovereign default risk? A factor model approach," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2392-2407.
  62. Martellini, Lionel & Milhau, Vincent & Tarelli, Andrea, 2018. "Capital structure decisions and the optimal design of corporate market debt prograams," Journal of Corporate Finance, Elsevier, vol. 49(C), pages 141-167.
  63. Atkeson, Andrew G. & Eisfeldt, Andrea L. & Weill, Pierre-Olivier, 2017. "Measuring the financial soundness of U.S. firms, 1926–2012," Research in Economics, Elsevier, vol. 71(3), pages 613-635.
  64. Welfens Paul J.J. & Baier Fabian & Kadiric Samir & Korus Arthur & Xiong Tian, 2019. "EU28 Capital Market Perspectives of a Hard BREXIT: Theory, Empirical Findings and Policy Options," The Economists' Voice, De Gruyter, vol. 16(1), pages 1-16, December.
  65. Adriana Breccia, 2004. "Formal Bankruptcy: Strategic Debt Service with Senior and Junior Creditors," Birkbeck Working Papers in Economics and Finance 0411, Birkbeck, Department of Economics, Mathematics & Statistics.
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