Modeling term structures of defaultable bonds

Keywords

Singleton, Term (time), Bond, Library science, Classics

References

• The Term Structure of Defaultable Bond PricesPhilipp J. Sch oumlnbucher — 1996
• Three Essays on Contingent Claims PricingAnlong Li — 1992
• Point Processes and QueuesPierre Brémaud — 1981
• Swap Pricing with Two-Sided Default Risk in a Rating-Based ModelBrian Norsk Huge, David Lando — 2001
• Quasilinear degenerate and nonuniformly elliptic and parabolic equations of second orderА. В. Иванов — 1984
• The valuation of floating-rate instruments: Theory and evidenceKrishna Ramaswamy, Suresh Sundaresan — 1986
• Stochastic Differential Equations and ApplicationsXuerong Mao — 1998
• The default risk of high-yield bondsCynthia G. McDonald, Linda M. Van De Gucht — 1996
• Pricing Credit-Sensitive Debt When Interest Rates, Credit Ratings and Credit Spreads Are StochasticSanjiv Rangan Das, Peter Tufano — 1997
• Gauging the Default PremiumGordon Pye — 1974
• Corporate bond valuation and the term structure of credit spreadsRobert B. Litterman, Thomas Iben — 1991
• DEFAULT RISK INSURANCE AND INCOMPLETE MARKETSPhilippe Artzner, Freddy Delbaen — 1995
• An Econometric Model of the Term Structure of Interest-Rate Swap YieldsDarrell Duffie, Kenneth J. Singleton — 1997
• Default risk and derivative productsIan A. Cooper, Marcel Martin — 1996
• Recursive valuation of defaultable securities and the timing of resolution of uncertaintyDarrell Duffie, Mark Schröder, Costis Skiadas — 1996
• The impact of default risk on the prices of options and other derivative securitiesJohn Hull, Alan White — 1995
• Martingales and arbitrage in multiperiod securities marketsJ. Michael Harrison, David M. Kreps — 1979
• Stochastic integration and differential equationsPhilip Protter — 1990
• Pricing the risks of defaultDilip B. Madan, Haluk Ünal — 1998
• Dynamic Capital Structure Choice: Theory and TestsEdwin O. Fischer, Robert Heinkel, Josef Zechner — 1989

Cited by

• The Credit Risk Premium and Return Predictability in High Yield BondsJason Thomas — 2012
• An Estimation Model for the Term Structure of Yield SpreadKimiaki Aonuma, Takahito Tanabe — 2001
• Three essays on the pricing of convertible bonds and on put-call paritiesYuriy Zabolotnyuk — 2009
• The Muni Bond Spread: Credit, Liquidity, and TaxAndrew Ang, Vineer Bhansali, Yuhang Xing — 2014
• Credit Risk ModelingDavid Lando — 2009
• Pricing, implementation and calibration of credit derivatives in incomplete marketRégis Houssou — 2011
• Sources of Momentum in BondsHwagyun Kim, Arvind Mahajan, Alex Petkevich — 2012
• A Note to Correct Modeling Term Structures of Defaultable BondsDae Il Kang — 2010
• Macroeconomic Conditions, Systematic Risk Factors, and the Time Series Dynamics of Commercial Mortgage Credit RiskXudong An — 2007
• Correlated Defaults in Reduced-Form ModelsFan Yu — 2003
• Corporate Bond Risk PremiaChristian Speck — 2013
• Profitability, Growth, and Different Flow Ratio Concepts: Implications for Failing FirmsErkki K. Laitinen — 2012
• Simulation of default events in a CDX and estimation of the spreadDmitri Boreiko, Yuri M. Kaniovski, Georg Ch. Pflug — 2011
• THE MARKET PRICE OF CREDIT RISKKay Giesecke, Lisa R. Goldberg — 2008
• European Sovereign CDS Premia during the Crisis – A Cointegration AnalysisAlexander Schmidt — 2013
• One More Model Risk When Using Gaussian Copula for Risk ManagementMassimo Morini — 2009
• Closed Form Approximation of Swap ExposuresHeikki Sepppll, Ser‐Huang Poon, Thomas Schrrder — 2013
• Nondefault Components of Corporate Yield Spreads: Taxes or Liquidity?Hai Lin, Sheen Liu, Chunchi Wu — 2008
• Essays on Credit Default SwapXuanlai He — 2009
• Yield Spreads and Real Interest RatesJonathan A. Batten, Gady Jacoby, Rose C. Liao — 2009

Related papers

• Trust and trustworthiness with singleton groupsFabio Galeotti, Daniel John Zizzo — 2012
• The Comparison of the Status of Mental Health of the Singleton and Non-singleton College StudentsWei Dai — 2005
• Evidence for second-order singleton suppression based on probabilistic expectationsBo-Yeong Won, Mary Kosoyan, Joy J. Geng — 2018
• Bridging attentional capture and control: Evidence from a partial report paradigm with color singletonsMaria Nordfang, Søren Kyllingsbæk, Claus Bundesen — 2010
• Evidence for second-order singleton suppression based on probabilistic expectationsBo-Yeong Won, Mary Kosoyan, Joy J. Geng — 2018
• Attentional shifts to rare singletonsGernot Horstmann, Ulrich Ansorge — 2006
• Mary Clyde Singleton.Mary C. Singleton — 1971
• Singleton types here, singleton types there, singleton types everywhereStefan Monnier, David Haguenauer — 2010