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A Markov Model for the Term Structure of Credit Risk Spreads

In: Financial Derivatives Pricing Selected Works of Robert Jarrow

Citations

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Cited by:

  1. Yoshihiro Shirai, 2023. "A Levy-driven Ornstein-Uhlenbeck process for the valuation of credit index swaptions," Papers 2301.05332, arXiv.org, revised Oct 2023.
  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. Julien Vedani & Fabien Ramaharobandro, 2013. "Continuous compliance: a proxy-based monitoring framework," Papers 1309.7222, arXiv.org, revised Dec 2013.
  4. Beliaeva, Natalia & Nawalkha, Sanjay, 2012. "Pricing American interest rate options under the jump-extended constant-elasticity-of-variance short rate models," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 151-163.
  5. 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.
  6. André Lucas & Siem Jan Koopman, 2005. "Business and default cycles for credit risk," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 311-323.
  7. 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.
  8. 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.
  9. 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.
  10. Karim Parra, 2010. "Factores determinantes del margen entre la deuda corporativa y la deuda pública en Colombia," Revista de Economía del Rosario, Universidad del Rosario, November.
  11. Kamphol Panyagometh & Gordon S. Roberts, 2010. "Do Lead Banks Exploit Syndicate Participants? Evidence from Ex Post Risk," Financial Management, Financial Management Association International, vol. 39(1), pages 273-299, March.
  12. Jennie Bai & Pierre Collin-Dufresne & Robert S. Goldstein & Jean Helwege, 2012. "On bounding credit event risk premia," Staff Reports 577, Federal Reserve Bank of New York.
  13. 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.
  14. Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, August.
  15. Leo Krippner, 2003. "Modelling the Yield Curve with Orthonormalised Laguerre Polynomials: A Consistent Cross-Sectional and Inter-Temporal Approach," Working Papers in Economics 03/02, University of Waikato.
  16. Alain Monfort & Jean-Paul Renne, 2013. "Default, Liquidity, and Crises: an Econometric Framework," Journal of Financial Econometrics, Oxford University Press, vol. 11(2), pages 221-262, March.
  17. 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.
  18. de Andrade, Fabio Wendling Muniz & Thomas, Lyn, 2007. "Structural models in consumer credit," European Journal of Operational Research, Elsevier, vol. 183(3), pages 1569-1581, December.
  19. Jankowitsch, Rainer & Pichler, Stefan & Schwaiger, Walter S.A., 2007. "Modelling the economic value of credit rating systems," Journal of Banking & Finance, Elsevier, vol. 31(1), pages 181-198, January.
  20. Allen, David E & Powell, Robert, 2008. "Structural Credit Modelling and Its Relationship to Market Value at Risk: An Australian Sectoral Perspective," MPRA Paper 47206, University Library of Munich, Germany.
  21. Kwamie Dunbar & Abu S. Amin, 2012. "Credit risk dynamics in response to changes in the federal funds target: The implication for firm short‐term debt," Review of Financial Economics, John Wiley & Sons, vol. 21(3), pages 141-152, September.
  22. Guglielmo D’Amico & Jacques Janssen & Raimondo Manca, 2011. "Discrete Time Non-Homogeneous Semi-Markov Reliability Transition Credit Risk Models and the Default Distribution Functions," Computational Economics, Springer;Society for Computational Economics, vol. 38(4), pages 465-481, November.
  23. Hubner, Georges, 2001. "The analytic pricing of asymmetric defaultable swaps," Journal of Banking & Finance, Elsevier, vol. 25(2), pages 295-316, February.
  24. van Landschoot, A., 2003. "The Term Structure of Credit Spreads on Euro Corporate Bonds," Discussion Paper 2003-046, Tilburg University, Center for Economic Research.
  25. Batten, Jonathan & Hogan, Warren, 2002. "A perspective on credit derivatives," International Review of Financial Analysis, Elsevier, vol. 11(3), pages 251-278.
  26. 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.
  27. Sturzenegger, Federico & Zettelmeyer, Jeromin, 2008. "Haircuts: Estimating investor losses in sovereign debt restructurings, 1998-2005," Journal of International Money and Finance, Elsevier, vol. 27(5), pages 780-805, September.
  28. Schäfer, Rudi & Koivusalo, Alexander F.R., 2013. "Dependence of defaults and recoveries in structural credit risk models," Economic Modelling, Elsevier, vol. 30(C), pages 1-9.
  29. Eckert, Johanna & Gatzert, Nadine & Martin, Michael, 2016. "Valuation and risk assessment of participating life insurance in the presence of credit risk," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 382-393.
  30. Dmitri Boreiko & Serguei Kaniovski & Yuri Kaniovski & Georg Pflug, 2017. "Traces of business cycles in credit-rating migrations," PLOS ONE, Public Library of Science, vol. 12(4), pages 1-29, April.
  31. Ha Nguyen, 2023. "Particle MCMC in forecasting frailty correlated default models with expert opinion," Papers 2304.11586, arXiv.org, revised Aug 2023.
  32. Ammann, Manuel & Kind, Axel & Wilde, Christian, 2003. "Are convertible bonds underpriced? An analysis of the French market," Journal of Banking & Finance, Elsevier, vol. 27(4), pages 635-653, April.
  33. 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.
  34. Khieu, Hinh D. & Mullineaux, Donald J. & Yi, Ha-Chin, 2012. "The determinants of bank loan recovery rates," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 923-933.
  35. Urtzi Ayesta & M Erausquin & E Ferreira & P Jacko, 2016. "Optimal Dynamic Resource Allocation to Prevent Defaults," Working Papers hal-01300681, HAL.
  36. Jafry, Yusuf & Schuermann, Til, 2004. "Measurement, estimation and comparison of credit migration matrices," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2603-2639, November.
  37. Chateau, Jean-Pierre D., 2011. "Contribution à la réglementation de Bâle-3 : de la consistance interne du continuum du crédit commercial en marquant à la « valeur de modèle » le risque de crédit des engagements de crédit," L'Actualité Economique, Société Canadienne de Science Economique, vol. 87(4), pages 445-479, décembre.
  38. Ma, Chaoqun & Ma, Zonggang & Xiao, Shisong, 2019. "A closed-form pricing formula for vulnerable European options under stochastic yield spreads and interest rates," Chaos, Solitons & Fractals, Elsevier, vol. 123(C), pages 59-68.
  39. 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.
  40. Batten, Jonathan A. & Fetherston, Thomas A. & Hoontrakul, Pongsak, 2006. "Factors affecting the yields of emerging market issuers: Evidence from the Asia-Pacific region," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(1), pages 57-70, February.
  41. Wozabal, David & Hochreiter, Ronald, 2012. "A coupled Markov chain approach to credit risk modeling," Journal of Economic Dynamics and Control, Elsevier, vol. 36(3), pages 403-415.
  42. Darrel Duffie & Damir Filipović & Walter Schachermayer, 2002. "Affine Processes and Application in Finance," NBER Technical Working Papers 0281, National Bureau of Economic Research, Inc.
  43. Valerio Vacca, 2011. "An unexpected crisis? Looking at pricing effectiveness of different banks," Temi di discussione (Economic working papers) 814, Bank of Italy, Economic Research and International Relations Area.
  44. Bank, Matthias & Kupfer, Alexander, 2014. "A sequential pricing framework for corporate securities: The case of rating-trigger step-up/-down bonds," Finance Research Letters, Elsevier, vol. 11(4), pages 437-445.
  45. Lara Cathcart & Lina El-Jahel, 2006. "Pricing defaultable bonds: a middle-way approach between structural and reduced-form models," Quantitative Finance, Taylor & Francis Journals, vol. 6(3), pages 243-253.
  46. Biase di Giuseppe & Guglielmo D'Amico & Jacques Janssen & Raimondo Manca, 2014. "A Duration Dependent Rating Migration Model: Real Data Application and Cost of Capital Estimation," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 64(3), pages 233-245, June.
  47. Roberto Blanco & Simon Brennan & Ian W Marsh, 2004. "An empirical analysis of the dynamic relationship between investment-grade bonds and credit default swaps," Bank of England working papers 211, Bank of England.
  48. Kyriakos Chourdakis, 2002. "Continuous Time Regime Switching Models and Applications in Estimating Processes with Stochastic Volatility and Jumps," Working Papers 464, Queen Mary University of London, School of Economics and Finance.
  49. Richard J. Martin, 2020. "Credit migration: Generating generators," Papers 2006.11146, arXiv.org, revised Feb 2021.
  50. Youngha Cho & Soosung Hwang & Steve Satchell, 2012. "The Optimal Mortgage Loan Portfolio in UK Regional Residential Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 45(3), pages 645-677, October.
  51. Albanese, Claudio & Chen, Oliver X., 2006. "Implied migration rates from credit barrier models," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 607-626, February.
  52. Krishnan, C. N. V. & Ritchken, P. H. & Thomson, J. B., 2006. "On Credit-Spread Slopes and Predicting Bank Risk," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(6), pages 1545-1574, September.
  53. Brock Johnson & Jonathan Batten, 2003. "Forecasting Credit Spread Volatility: Evidence from the Japanese Eurobond Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 10(4), pages 335-357, December.
  54. Surya, Budhi Arta, 2022. "Conditional multivariate distributions of phase-type for a finite mixture of Markov jump processes given observations of sample path," Journal of Multivariate Analysis, Elsevier, vol. 191(C).
  55. Viral V. Acharya & Jennifer N. Carpenter, 2002. "Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy," The Review of Financial Studies, Society for Financial Studies, vol. 15(5), pages 1355-1383.
  56. Jaesun Noh, 2004. "Estimation of Credit and Default Spreads: An Application to CDO Valuation," Econometric Society 2004 Far Eastern Meetings 444, Econometric Society.
  57. Bhanot, Karan, 2005. "What causes mean reversion in corporate bond index spreads? The impact of survival," Journal of Banking & Finance, Elsevier, vol. 29(6), pages 1385-1403, June.
  58. Kretzschmar, Gavin & McNeil, Alexander J. & Kirchner, Axel, 2010. "Integrated models of capital adequacy - Why banks are undercapitalised," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2838-2850, December.
  59. Skoglund, Jimmy & Chen, Wei, 2010. "Calculating incremental risk charges: The effect of the liquidity horizon," MPRA Paper 31535, University Library of Munich, Germany, revised 10 Feb 2011.
  60. Balakrishna, B S, 2006. "A Semi-Analytical Parametric Model for Dependent Defaults," MPRA Paper 14918, University Library of Munich, Germany, revised 15 May 2007.
  61. Mari, Carlo & Reno, Roberto, 2005. "Credit risk analysis of mortgage loans: An application to the Italian market," European Journal of Operational Research, Elsevier, vol. 163(1), pages 83-93, May.
  62. 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.
  63. Van Landschoot, Astrid, 2004. "Determinants of euro term structure of credit spreads," Working Paper Series 397, European Central Bank.
  64. Duffee, Gregory R., 1996. "On measuring credit risks of derivative instruments," Journal of Banking & Finance, Elsevier, vol. 20(5), pages 805-833, June.
  65. Batten, Jonathan & Hogan, Warren & Pynnonen, Seppo, 2000. "The dynamics of Australian dollar bonds with different credit qualities," International Review of Financial Analysis, Elsevier, vol. 9(4), pages 389-404.
  66. Gregory R. Duffee, "undated". "Treasury Yields and Corporate Bond Yield Spreads: An Empirical Analysis," Finance and Economics Discussion Series 1996-20, Board of Governors of the Federal Reserve System (U.S.), revised 10 Dec 2019.
  67. Jarrow, Robert A. & Turnbull, Stuart M., 2000. "The intersection of market and credit risk," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 271-299, January.
  68. Hui Chen & Yu Xu & Jun Yang, 2012. "Systematic Risk, Debt Maturity, and the Term Structure of Credit Spreads," NBER Working Papers 18367, National Bureau of Economic Research, Inc.
  69. Valerio Vacca, 2017. "An Unexpected Crisis? Looking at Pricing Effectiveness of Heterogeneous Banks," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 46(2), pages 171-206, July.
  70. Giampaolo Gabbi & Andrea Sironi, 2005. "Which factors affect corporate bonds pricing? Empirical evidence from eurobonds primary market spreads," The European Journal of Finance, Taylor & Francis Journals, vol. 11(1), pages 59-74.
  71. Ming Fang & Rui Zhong, 2004. "Default Risk, Firm's Characteristics, and Risk Shifting," Yale School of Management Working Papers amz2461, Yale School of Management, revised 01 Mar 2005.
  72. Simonne Varotto, 2001. "Credit Risk Diversification," ICMA Centre Discussion Papers in Finance icma-dp2001-07, Henley Business School, University of Reading.
  73. Didier Cossin & Tomas Hricko & Daniel Aunon-Nerin & Zhijiang Huang, 2002. "Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets’ Information Suffcient to Evaluate Credit Risk?," FAME Research Paper Series rp65, International Center for Financial Asset Management and Engineering.
  74. Jochen R. Andritzky, 2004. "Implied Default Probabilities and Default Recovery Ratios: An Analysis of Argentine Eurobonds 2000-2002," Econometric Society 2004 Far Eastern Meetings 500, Econometric Society.
  75. Guha, R. & Sbuelz, A., 2003. "Structural RFV : Recovery Form and Defaultable Debt Analysis," Other publications TiSEM 841ad1ef-22f2-4ea8-b19b-5, Tilburg University, School of Economics and Management.
  76. Jobst, Norbert J. & Zenios, Stavros A., 2005. "On the simulation of portfolios of interest rate and credit risk sensitive securities," European Journal of Operational Research, Elsevier, vol. 161(2), pages 298-324, March.
  77. Simone Varotto, 2008. "An Assessment of the Internal Rating Based Approach in Basel II," ICMA Centre Discussion Papers in Finance icma-dp2008-04, Henley Business School, University of Reading.
  78. Ran Zhang & Jing Zhang & Shuang Xu, 2015. "Determining pledged loan-to-value ratio: an option pricing perspective," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 1(1), pages 1-13, December.
  79. Heidorn, Thomas & Schlamann, Sara, 2022. "The dynamics of rating based credit benchmark curves," Frankfurt School - Working Paper Series 231, Frankfurt School of Finance and Management.
  80. Yuchao Dong & Jin Liang & Claude-Michel Brauner, 2023. "Double free boundary problem for defaultable corporate bond with credit rating migration risks and their asymptotic behaviors," Papers 2301.10898, arXiv.org, revised Jul 2023.
  81. Antje Berndt & Peter Ritchken & Zhiqiang Sun, 2010. "On Correlation and Default Clustering in Credit Markets," The Review of Financial Studies, Society for Financial Studies, vol. 23(7), pages 2680-2729, July.
  82. Saar, Dan & Yagil, Yossi, 2015. "Forecasting sectorial profitability and credit spreads using bond yields," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 29-43.
  83. Jobst, Andreas A., 2002. "The Pricing puzzle: The default term structure of collateralised loan obligations," CFS Working Paper Series 2002/14, Center for Financial Studies (CFS).
  84. Kim, Sung Ik, 2023. "A comparative study of firm value models: Default risk of corporate bonds," Finance Research Letters, Elsevier, vol. 56(C).
  85. Tsung-Kang Chen & Hsien-Hsing Liao & Chia-Wu Lu, 2011. "A flow-based corporate credit model," Review of Quantitative Finance and Accounting, Springer, vol. 36(4), pages 517-532, May.
  86. 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.
  87. Esposito, Francesco Paolo, 2011. "Credit risk tools, (numerical methods for finance, university of Limerick 2011)," MPRA Paper 40081, University Library of Munich, Germany.
  88. Linda Allen & Anthony Saunders, 2003. "A survey of cyclical effects in credit risk measurement model," BIS Working Papers 126, Bank for International Settlements.
  89. Hui, C.H. & Lo, C.F. & Wong, T.C. & Man, P.K., 2006. "Measuring provisions for collateralised retail lending," Journal of Economics and Business, Elsevier, vol. 58(4), pages 343-361.
  90. Kraft, Holger & Steffensen, Mogens, 2009. "Asset allocation with contagion and explicit bankruptcy procedures," Journal of Mathematical Economics, Elsevier, vol. 45(1-2), pages 147-167, January.
  91. Sanjiv Ranjan Das & Rangarajan K. Sundaram, 1998. "A Direct Approach to Arbitrage-Free Pricing of Derivatives," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-013, New York University, Leonard N. Stern School of Business-.
  92. Bauerle, Nicole, 2002. "Risk management in credit risk portfolios with correlated assets," Insurance: Mathematics and Economics, Elsevier, vol. 30(2), pages 187-198, April.
  93. Hsiang Hui Chu & Yi Fang Chung, 2016. "Analysis of the Contagion Effect to the Credit Derivative Valuation," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 6(10), pages 571-582, October.
  94. Keiler, Sebastian & Eder, Armin, 2013. "CDS spreads and systemic risk: A spatial econometric approach," Discussion Papers 01/2013, Deutsche Bundesbank.
  95. Bangia, Anil & Diebold, Francis X. & Kronimus, Andre & Schagen, Christian & Schuermann, Til, 2002. "Ratings migration and the business cycle, with application to credit portfolio stress testing," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 445-474, March.
  96. van Landschoot, A., 2003. "The Term Structure of Credit Spreads on Euro Corporate Bonds," Other publications TiSEM f5164bb2-6597-48c4-8b44-d, Tilburg University, School of Economics and Management.
  97. Sumon Bhaumik & John S. Landon-Lane, 2007. "Directional Mobility of Ratings," William Davidson Institute Working Papers Series wp900, William Davidson Institute at the University of Michigan.
  98. Albrecht, Peter, 2005. "Kreditrisiken - Modellierung und Management: Ein Überblick," German Risk and Insurance Review (GRIR), University of Cologne, Department of Risk Management and Insurance, vol. 1(2), pages 22-152.
  99. Andreas Blöchlinger, 2018. "Credit Rating and Pricing: Poles Apart," JRFM, MDPI, vol. 11(2), pages 1-26, May.
  100. Charles S. Morris & Robert Neal & Doug Rolph, 1998. "Credit spreads and interest rates : a cointegration approach," Research Working Paper 98-08, Federal Reserve Bank of Kansas City.
  101. M. Bellalah, 2000. "A Reexamination of Corporate Risks Under Incomplete Information," THEMA Working Papers 2000-28, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  102. Puneet Pasricha & Dharmaraja Selvamuthu & Guglielmo D’Amico & Raimondo Manca, 2020. "Portfolio optimization of credit risky bonds: a semi-Markov process approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-14, December.
  103. Bjork, Tomas, 2009. "Arbitrage Theory in Continuous Time," OUP Catalogue, Oxford University Press, edition 3, number 9780199574742.
  104. Marco Sorge & Blaise Gadanecz, 2004. "The term structure of credit spreads in project finance," BIS Working Papers 159, Bank for International Settlements.
  105. Murphy, Austin, 2003. "An empirical analysis of the structure of credit risk premiums in the Eurobond market," Journal of International Money and Finance, Elsevier, vol. 22(6), pages 865-885, November.
  106. Greta Falavigna, 2006. "Models for Default Risk Analysis: Focus on Artificial Neural Networks, Model Comparisons, Hybrid Frameworks," CERIS Working Paper 200610, CNR-IRCrES Research Institute on Sustainable Economic Growth - Torino (TO) ITALY - former Institute for Economic Research on Firms and Growth - Moncalieri (TO) ITALY.
  107. Georges Dionne & Sadok Laajimi & Sofiane Mejri & Madalina Petrescu, 2006. "Estimation of the Default Risk of Publicly Traded Canadian Companies," Cahiers de recherche 0613, CIRPEE.
  108. International Association of Deposit Insurers, 2011. "Evaluation of Deposit Insurance Fund Sufficiency on the Basis of Risk Analysis," IADI Research Papers 11-11, International Association of Deposit Insurers.
  109. Cossin, Didier & Pirotte, Hugues, 1997. "Swap credit risk: An empirical investigation on transaction data," Journal of Banking & Finance, Elsevier, vol. 21(10), pages 1351-1373, October.
  110. John J. Merrick Jr., 1999. "Crisis Dynamics of Implied Default Recovery Ratios: Evidence From Russia and Argentina," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-052, New York University, Leonard N. Stern School of Business-.
  111. Guha, R. & Sbuelz, A., 2003. "Structural RFV : Recovery Form and Defaultable Debt Analysis," Discussion Paper 2003-37, Tilburg University, Center for Economic Research.
  112. Liz Dixon-Smith & Roman Goossens & Simon Hayes, 2005. "Default probabilities and expected recovery: an analysis of emerging market sovereign bonds," Bank of England working papers 261, Bank of England.
  113. Koichi Matsumoto, 2003. "Implied Default Probability and Credit Derivatives," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 10(2), pages 129-149, September.
  114. Dainelli, Francesco & Bet, Gianmarco & Fabrizi, Eugenio, 2024. "The financial health of a company and the risk of its default: Back to the future," International Review of Financial Analysis, Elsevier, vol. 95(PB).
  115. Antje Berndt & Peter Ritchken & Zhiqiang Sun, "undated". "On Correlation Effects and Default Clustering in Credit Models," GSIA Working Papers 2008-E36, Carnegie Mellon University, Tepper School of Business.
  116. Rossello, Damiano, 2012. "Arbitrage in skew Brownian motion models," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 50-56.
  117. Duffie, Darrell, 2005. "Credit risk modeling with affine processes," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2751-2802, November.
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  119. Ali, Imran, 2005. "How to Bring Pakistani Credit Rating Agencies at Part with Foreign Credit Agencies," MPRA Paper 116437, University Library of Munich, Germany, revised 17 Dec 2021.
  120. Das, Sanjiv Ranjan & Acharya, Viral & Sundaram, Rangarajan K, 2002. "Pricing Credit Derivatives with Rating Transitions," CEPR Discussion Papers 3329, C.E.P.R. Discussion Papers.
  121. Simone Varotto, 2011. "Liquidity risk, credit risk, market risk and bank capital," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 7(2), pages 134-152, April.
  122. Edward I. Altman & Andrea Resti & Andrea Sironi, 2002. "The link between default and recovery rates: effects on the procyclicality of regulatory capital ratios," BIS Working Papers 113, Bank for International Settlements.
  123. Daniel Rosch & Harald Scheule, 2009. "The Empirical Relation between Credit Quality, Recovery, and Correlation," Working Papers 222009, Hong Kong Institute for Monetary Research.
  124. Li Chen & Damir Filipovic, 2003. "A Simple Model for Credit Migration and Spread Curves," Finance 0305003, University Library of Munich, Germany.
  125. Brent Glover, "undated". "The Expected Cost of Default," GSIA Working Papers 2011-E23, Carnegie Mellon University, Tepper School of Business.
  126. Houweling, Patrick & Vorst, Ton, 2005. "Pricing default swaps: Empirical evidence," Journal of International Money and Finance, Elsevier, vol. 24(8), pages 1200-1225, December.
  127. Grundke, Peter, 2009. "Importance sampling for integrated market and credit portfolio models," European Journal of Operational Research, Elsevier, vol. 194(1), pages 206-226, April.
  128. Maximilian Hughes & Ralf Werner, 2016. "Choosing Markovian Credit Migration Matrices by Nonlinear Optimization," Risks, MDPI, vol. 4(3), pages 1-18, August.
  129. Murat EREN, & Selim BAÅžAR, 2016. "Effects Of Credit Default Swaps (Cds) On Bist-100 Index," EcoForum, "Stefan cel Mare" University of Suceava, Romania, Faculty of Economics and Public Administration - Economy, Business Administration and Tourism Department., vol. 5(Special I), pages 1-27, august.
  130. Voß, Sebastian & Weißbach, Rafael, 2014. "A score-test on measurement errors in rating transition times," Journal of Econometrics, Elsevier, vol. 180(1), pages 16-29.
  131. Gaffney, Edward & Kelly, Robert & McCann, Fergal, 2014. "A transitions-based framework for estimating expected credit losses," Research Technical Papers 16/RT/14, Central Bank of Ireland.
  132. Rosenthal, Dale W.R., 2008. "Approximating correlated defaults," MPRA Paper 36788, University Library of Munich, Germany, revised 15 Feb 2012.
  133. Areski Cousin & Jérôme Lelong & Tom Picard, 2022. "Rating transitions forecasting: a filtering approach," Working Papers hal-03347521, HAL.
  134. Oliver Blümke, 2022. "Multiperiod default probability forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(4), pages 677-696, July.
  135. Tomoaki Shouda, 2005. "Dynamical analysis of corporate bonds based on the yield spread term-quality surface," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 12(4), pages 307-332, December.
  136. Liu, Zhuoshi & Spencer, Peter, 2013. "Modelling sovereign credit spreads with international macro-factors: The case of Brazil 1998–2009," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 241-256.
  137. Gurdip Bakshi & Dilip B. Madan & Frank X. Zhang, 2001. "Investigating the sources of default risk: lessons from empirically evaluating credit risk models," Finance and Economics Discussion Series 2001-15, Board of Governors of the Federal Reserve System (U.S.).
  138. Dragon Tang & Hong Yan, 2006. "Macroeconomic Conditions, Firm Characteristics, and Credit Spreads," Journal of Financial Services Research, Springer;Western Finance Association, vol. 29(3), pages 177-210, June.
  139. Dilip Madan & George Pennacchi, 2003. "Introduction: Special Issue on Pricing the Risks of Deposit Insurance," Journal of Financial Services Research, Springer;Western Finance Association, vol. 24(2), pages 89-92, October.
  140. Andreas Jobst, 2002. "Loan Securitisation: Default Term Structure and Asset Pricing Based on Loss Prioritisation," FMG Discussion Papers dp422, Financial Markets Group.
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