메뉴 건너뛰기




Volumn 56, Issue 4, 2000, Pages 50-66

Estimating and Pricing Credit Risk: An Overview

(1)  Kao, Duen Li a  

a NONE

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0011828028     PISSN: 0015198X     EISSN: None     Source Type: Journal    
DOI: 10.2469/faj.v56.n4.2373     Document Type: Review
Times cited : (47)

References (91)
  • 1
    • 84980104458 scopus 로고
    • Financial Ratios, Discriminant Analysis, and the Prediction of Corporate Bankruptcy
    • Altman, Edward I. 1968. "Financial Ratios, Discriminant Analysis, and the Prediction of Corporate Bankruptcy." Journal of Finance, vol. 23, no. 4 (September):589-609.
    • (1968) Journal of Finance , vol.23 , Issue.4 SEPTEMBER , pp. 589-609
    • Altman, E.I.1
  • 2
    • 84977717232 scopus 로고
    • Measuring Corporate Bond Mortality and Performance
    • _. 1989. "Measuring Corporate Bond Mortality and Performance." Journal of Finance, vol. 44, no. 4 (September):909-922.
    • (1989) Journal of Finance , vol.44 , Issue.4 SEPTEMBER , pp. 909-922
  • 4
    • 0001440094 scopus 로고
    • The Implications of Corporate Bond Ratings Drift
    • _. 1992a. "The Implications of Corporate Bond Ratings Drift." Financial Analysts Journal, vol. 48, no. 3 (May/June):64-75.
    • (1992) Financial Analysts Journal , vol.48 , Issue.3 MAY-JUNE , pp. 64-75
  • 5
    • 0008059036 scopus 로고
    • Rating Drift in High-Yield Bonds
    • _. 1992b. "Rating Drift in High-Yield Bonds." Journal of Fixed Income, vol. 1, no. 4 (March):15-20.
    • (1992) Journal of Fixed Income , vol.1 , Issue.4 MARCH , pp. 15-20
  • 7
    • 7944229970 scopus 로고
    • ZETa Analysis: A New Model to Identify Bankruptcy Risk of Corporations
    • Altman, Edward I., Robert Halderman, and Paul Narayanan. 1977. "ZETA Analysis: A New Model to Identify Bankruptcy Risk of Corporations." Journal of Banking and Finance, vol. 1, no. 1 (June):29-54.
    • (1977) Journal of Banking and Finance , vol.1 , Issue.1 JUNE , pp. 29-54
    • Altman, E.I.1    Halderman, R.2    Narayanan, P.3
  • 10
    • 0039770329 scopus 로고    scopus 로고
    • Default Risk and the Effective Duration of Bonds
    • Babbel, David, Craig Merrill, and William Penning. 1997. "Default Risk and the Effective Duration of Bonds." Financial Analysts Journal, vol. 53, no. 1 (January/February):35-44.
    • (1997) Financial Analysts Journal , vol.53 , Issue.1 JANUARY-FEBRUARY , pp. 35-44
    • Babbel, D.1    Merrill, C.2    Penning, W.3
  • 11
    • 0002437989 scopus 로고    scopus 로고
    • Relative Valuation Roles of Equity Book Value and Net Income as a Function of Financial Health
    • Barth, Mary, William Beaver, and Wayne Landsman. 1998. "Relative Valuation Roles of Equity Book Value and Net Income as a Function of Financial Health." Journal of Accounting and Economics, vol. 25 (February):1-34.
    • (1998) Journal of Accounting and Economics , vol.25 , Issue.FEBRUARY , pp. 1-34
    • Barth, M.1    Beaver, W.2    Landsman, W.3
  • 12
    • 0002554419 scopus 로고
    • Financial Ratios as Predictors of Failure
    • Beaver, William. 1966. "Financial Ratios as Predictors of Failure." Journal of Accounting Research, vol. 4 (Supplement):71-111.
    • (1966) Journal of Accounting Research , vol.4 , Issue.SUPPL. , pp. 71-111
    • Beaver, W.1
  • 13
    • 84972296754 scopus 로고
    • An Analytical Model of Bond Risk Differentials
    • Bierman, Harold, Jr., and Jerome E. Hass. 1975. "An Analytical Model of Bond Risk Differentials." Journal of Financial and Quantitative Analysis, vol. 10, no. 5 (December):757-773.
    • (1975) Journal of Financial and Quantitative Analysis , vol.10 , Issue.5 DECEMBER , pp. 757-773
    • Bierman Jr., H.1    Hass, J.E.2
  • 14
    • 84944831925 scopus 로고
    • Valuing Corporate Securities: Some Effects of Bond Indenture Provisions
    • Black, Fischer, and John C. Cox. 1976. "Valuing Corporate Securities: Some Effects of Bond Indenture Provisions." Journal of Finance, vol. 31, no. 2 (June):351-367.
    • (1976) Journal of Finance , vol.31 , Issue.2 JUNE , pp. 351-367
    • Black, F.1    Cox, J.C.2
  • 15
    • 85015692260 scopus 로고
    • The Pricing of Options and Corporate Liabilities
    • Black, Fischer, and Myron Scholes. 1973. "The Pricing of Options and Corporate Liabilities." Journal of Political Economy, vol. 81, no. 3 (May/June):637-653.
    • (1973) Journal of Political Economy , vol.81 , Issue.3 MAY-JUNE , pp. 637-653
    • Black, F.1    Scholes, M.2
  • 16
    • 0000636321 scopus 로고
    • Corporate Income Taxes, Valuation, and the Problem of Optimal Capital Structure
    • Brennan, Michael, and Eduardo Schwartz. 1978. "Corporate Income Taxes, Valuation, and the Problem of Optimal Capital Structure." Journal of Business, vol. 51, no. 1 (January):103-114.
    • (1978) Journal of Business , vol.51 , Issue.1 JANUARY , pp. 103-114
    • Brennan, M.1    Schwartz, E.2
  • 19
    • 84977714411 scopus 로고
    • Default Risk and the Duration of Zero Coupon Bonds
    • Chance, Don M. 1990. "Default Risk and the Duration of Zero Coupon Bonds." Journal of Finance, vol. 45, no. 1 (March):265-274.
    • (1990) Journal of Finance , vol.45 , Issue.1 MARCH , pp. 265-274
    • Chance, D.M.1
  • 20
    • 0010850867 scopus 로고
    • A Framework for Assessing Credit Risk in Depository Institutions: Toward Regulatory Reform
    • Chirinko, Robert S., and Gen D. Guill. 1991. "A Framework for Assessing Credit Risk in Depository Institutions: Toward Regulatory Reform." Journal of Banking and Finance, vol. 15, no. 4/5 (June):785-804.
    • (1991) Journal of Banking and Finance , vol.15 , Issue.4-5 JUNE , pp. 785-804
    • Chirinko, R.S.1    Guill, G.D.2
  • 21
    • 0347034572 scopus 로고
    • Aggregate Shocks, Loan Losses, and Portfolio Concentrations: Lessons for Assessing Depository Institution Risk
    • Edited by James R. Barth, R. Dan Brumbaugh, and Joseph E. Stiglitz. New York: Harper Collins
    • _. 1992. "Aggregate Shocks, Loan Losses, and Portfolio Concentrations: Lessons for Assessing Depository Institution Risk." In The Reform of Federal Deposit Insurance. Edited by James R. Barth, R. Dan Brumbaugh, and Joseph E. Stiglitz. New York: Harper Collins.
    • (1992) The Reform of Federal Deposit Insurance
  • 22
    • 0041894504 scopus 로고
    • Assessing Credit Risk of CMBS
    • Corcoran, Patrick J., and Duen-Li Kao. 1994. "Assessing Credit Risk of CMBS." Real Estate Finance (May):29-40.
    • (1994) Real Estate Finance , Issue.MAY , pp. 29-40
    • Corcoran, P.J.1    Kao, D.-L.2
  • 23
    • 0001205798 scopus 로고
    • A Theory of the Term Structure of Interest Rates
    • Cox, John C., Jonathan E. Ingersoll, Jr., and Stephen A. Ross. 1985. "A Theory of the Term Structure of Interest Rates." Econometrica (March):385-407.
    • (1985) Econometrica , Issue.MARCH , pp. 385-407
    • Cox, J.C.1    Ingersoll Jr., J.E.2    Ross, S.A.3
  • 25
    • 0001430385 scopus 로고    scopus 로고
    • Pricing Credit-Sensitive Debt When Interest Rates, Credit Ratings and Credit Spreads Are Stochastic
    • Das, Sanjiv R., and Peter Tufano. 1996. "Pricing Credit-Sensitive Debt When Interest Rates, Credit Ratings and Credit Spreads Are Stochastic." Journal of Financial Engineering, vol. 5, no. 2 (June):161-198.
    • (1996) Journal of Financial Engineering , vol.5 , Issue.2 JUNE , pp. 161-198
    • Das, S.R.1    Tufano, P.2
  • 27
    • 0030163124 scopus 로고    scopus 로고
    • On Measuring Credit Risks of Derivative Instruments
    • Duffee, Gregory R. 1996. "On Measuring Credit Risks of Derivative Instruments." Journal of Banking and Finance, vol. 20, no. 5 (June):805-833.
    • (1996) Journal of Banking and Finance , vol.20 , Issue.5 JUNE , pp. 805-833
    • Duffee, G.R.1
  • 28
    • 0006069985 scopus 로고    scopus 로고
    • An Econometric Model of the Term Structure of Interest Rate Swap Yields
    • Duffie, Darrell, and Kenneth J. Singleton. 1997. "An Econometric Model of the Term Structure of Interest Rate Swap Yields." Journal of Finance, vol. 52, no. 4 (September):1287-1321.
    • (1997) Journal of Finance , vol.52 , Issue.4 SEPTEMBER , pp. 1287-1321
    • Duffie, D.1    Singleton, K.J.2
  • 29
    • 0005971016 scopus 로고    scopus 로고
    • Working paper, Stanford University
    • _. 1998. "Simulating Correlated Defaults." Working paper, Stanford University.
    • (1998) Simulating Correlated Defaults
  • 30
    • 0033416234 scopus 로고    scopus 로고
    • Modeling Term Structures of Defaultable Bonds
    • _. 1999. "Modeling Term Structures of Defaultable Bonds." Review of Financial Studies, vol. 12, no. 4 (Special):687-720.
    • (1999) Review of Financial Studies , vol.12 , Issue.4 SPECIAL , pp. 687-720
  • 31
    • 0000299413 scopus 로고
    • Determinants of Risk Premiums on Corporate Bonds
    • Fisher, Lawrence. 1959. "Determinants of Risk Premiums on Corporate Bonds." Journal of Political Economy, vol. 67, no. 3 (June):217-237.
    • (1959) Journal of Political Economy , vol.67 , Issue.3 JUNE , pp. 217-237
    • Fisher, L.1
  • 32
    • 0142109378 scopus 로고
    • Default Risk and Duration Analysis
    • Edited by Edward I. Altman. New York: Dow Jones Irwin
    • Fons, Jerome S. 1990. "Default Risk and Duration Analysis." In The High Yield Debt Market. Edited by Edward I. Altman. New York: Dow Jones Irwin.
    • (1990) The High Yield Debt Market
    • Fons, J.S.1
  • 33
    • 84944837333 scopus 로고
    • Introducing Recursive Partitioning for Financial Classification: The Case of Financial Distress
    • Frydman, Halina, Edward I. Altman, and Duen-Li Kao. 1985. "Introducing Recursive Partitioning for Financial Classification: The Case of Financial Distress." Journal of Finance, vol. 40, no. 1 (March):269-291.
    • (1985) Journal of Finance , vol.40 , Issue.1 MARCH , pp. 269-291
    • Frydman, H.1    Altman, E.I.2    Kao, D.-L.3
  • 35
    • 84974489263 scopus 로고
    • The Valuation of Corporate Securities as Compound Options
    • Geske, Robert. 1977. "The Valuation of Corporate Securities as Compound Options." Journal of Financial and Quantitative Analysis, vol. 12, no. 4:541-552.
    • (1977) Journal of Financial and Quantitative Analysis , vol.12 , Issue.4 , pp. 541-552
    • Geske, R.1
  • 36
    • 21144474023 scopus 로고
    • Calculation of an Efficient Frontier for a Commercial Loan Portfolio
    • Gollinger, Terri, and John Morgan. 1993. "Calculation of an Efficient Frontier for a Commercial Loan Portfolio." Journal of Portfolio Management, vol. 19, no. 2 (Winter):39-46.
    • (1993) Journal of Portfolio Management , vol.19 , Issue.2 WINTER , pp. 39-46
    • Gollinger, T.1    Morgan, J.2
  • 38
    • 0002674207 scopus 로고
    • Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
    • Heath, David, Robert Jarrow, and Andrew Morton. 1992. "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation." Econometrica, vol. 60:77-106.
    • (1992) Econometrica , vol.60 , pp. 77-106
    • Heath, D.1    Jarrow, R.2    Morton, A.3
  • 39
    • 0039520045 scopus 로고    scopus 로고
    • The Slope of the Credit Yield Curve for Speculative-Grade Issuers
    • Helwege, Jean, and Christopher M. Turner. 1999. "The Slope of the Credit Yield Curve for Speculative-Grade Issuers." Journal of Finance, vol. 54, no. 5 (October):1869-84.
    • (1999) Journal of Finance , vol.54 , Issue.5 OCTOBER , pp. 1869-1884
    • Helwege, J.1    Turner, C.M.2
  • 40
    • 0001906581 scopus 로고    scopus 로고
    • The Effect of Bond-Rating Changes on Bond Price Performance
    • Hite, G., and Arthur Warga. 1997. "The Effect of Bond-Rating Changes on Bond Price Performance." Financial Analysts Journal, vol. 53, no. 3 (May/June):35-51.
    • (1997) Financial Analysts Journal , vol.53 , Issue.3 MAY-JUNE , pp. 35-51
    • Hite, G.1    Warga, A.2
  • 41
    • 84944829853 scopus 로고
    • Term Structure Movements and Pricing Interest Rate Contingent Claims
    • Ho, Thomas S.Y., and San-Bin Lee. 1986. "Term Structure Movements and Pricing Interest Rate Contingent Claims." Journal of Finance, vol. 41, no. 5 (December):1011-29.
    • (1986) Journal of Finance , vol.41 , Issue.5 DECEMBER , pp. 1011-1029
    • Ho, T.S.Y.1    Lee, S.-B.2
  • 42
    • 0000520090 scopus 로고
    • Pricing Interest Rate Derivative Securities
    • Hull, John, and Alan White. 1990. "Pricing Interest Rate Derivative Securities." Review of Financial Studies, vol. 3, no. 4 (Winter):573-592.
    • (1990) Review of Financial Studies , vol.3 , Issue.4 WINTER , pp. 573-592
    • Hull, J.1    White, A.2
  • 43
    • 0000167010 scopus 로고
    • The Impact of Default Risk on the Prices of Options and Other Derivative Securities
    • _. 1995. "The Impact of Default Risk on the Prices of Options and Other Derivative Securities." Journal of Banking and Finance, vol. 19, no. 2 (April):299-322.
    • (1995) Journal of Banking and Finance , vol.19 , Issue.2 APRIL , pp. 299-322
  • 44
    • 0002331178 scopus 로고
    • The Value of Duration as a Risk Measure for Corporate Debt
    • Ilmanen, Antti, Donald McGuire, and Arthur Warga. 1994. "The Value of Duration as a Risk Measure for Corporate Debt." Journal of Fixed Income, vol. 4, no. 1:70-76.
    • (1994) Journal of Fixed Income , vol.4 , Issue.1 , pp. 70-76
    • Ilmanen, A.1    McGuire, D.2    Warga, A.3
  • 45
    • 84993907181 scopus 로고
    • Pricing Derivatives on Financial Securities Subject to Credit Risk
    • Jarrow, Robert A., and Stuart M. Turnbull. 1995. "Pricing Derivatives on Financial Securities Subject to Credit Risk." Journal of Finance, vol. 50, no. 1 (March):53-86.
    • (1995) Journal of Finance , vol.50 , Issue.1 MARCH , pp. 53-86
    • Jarrow, R.A.1    Turnbull, S.M.2
  • 46
    • 0031514515 scopus 로고    scopus 로고
    • A Markov Model for the Term Structure of Credit Risk Spreads
    • Jarrow, Robert A., David Lando, and Stuart M. Turnbull. 1997. "A Markov Model for the Term Structure of Credit Risk Spreads." Review of Financial Studies, vol. 10, no. 2 (Summer):481-523.
    • (1997) Review of Financial Studies , vol.10 , Issue.2 SUMMER , pp. 481-523
    • Jarrow, R.A.1    Lando, D.2    Turnbull, S.M.3
  • 47
    • 0000545178 scopus 로고
    • Term Structures of Corporate Bond Yields as a Function of Risk of Default
    • Johnson, Ramon. 1967. "Term Structures of Corporate Bond Yields as a Function of Risk of Default." Journal of Finance, vol. 22, no. 2 (April):313-345.
    • (1967) Journal of Finance , vol.22 , Issue.2 APRIL , pp. 313-345
    • Johnson, R.1
  • 48
    • 84887676364 scopus 로고
    • Contingent Claims Analysis of Corporate Capital Structures: An Empirical Investigation
    • Jones, Edward, Scott Mason, and Eric Rosenfeld. 1984. "Contingent Claims Analysis of Corporate Capital Structures: An Empirical Investigation." Journal of Finance, vol. 39, no. 3 (June):611-627.
    • (1984) Journal of Finance , vol.39 , Issue.3 JUNE , pp. 611-627
    • Jones, E.1    Mason, S.2    Rosenfeld, E.3
  • 49
    • 0347157552 scopus 로고
    • Statistical Models in Credit Management
    • Edited by Young Kim. Greenwich, CT: JAI Press
    • Kallberg, Jarl G., and Duen-Li Kao. 1988. "Statistical Models in Credit Management." In Advances in Working Capital Management. Edited by Young Kim. Greenwich, CT: JAI Press.
    • (1988) Advances in Working Capital Management
    • Kallberg, J.G.1    Kao, D.-L.2
  • 50
  • 51
    • 0347664608 scopus 로고    scopus 로고
    • Capital Structure and Sector Allocation
    • Santa Barbara, CA
    • _. 1997. "Capital Structure and Sector Allocation." Presented at the Annual GAT Fixed Income Conference, Santa Barbara, CA.
    • (1997) Annual GAT Fixed Income Conference
  • 52
    • 85037459739 scopus 로고    scopus 로고
    • Economic Losses of Rating Changes
    • Napa Valley, CA
    • _. 1998. "Economic Losses of Rating Changes." Presented at the Annual GAT/BARRA Fixed Income Conference, Napa Valley, CA.
    • (1998) Annual GAT/BARRA Fixed Income Conference
  • 55
    • 0029693454 scopus 로고    scopus 로고
    • Firm-Specific Information and the Correlation between Individual Stocks and Bonds
    • Kwan, Simon. 1996. "Firm-Specific Information and the Correlation between Individual Stocks and Bonds." Journal of Financial Economics, vol. 40, no. 1 (January):63-80.
    • (1996) Journal of Financial Economics , vol.40 , Issue.1 JANUARY , pp. 63-80
    • Kwan, S.1
  • 57
    • 85014448410 scopus 로고
    • An Application of the Cox Proportional Hazards Model to Bank Failure
    • Lane, William, Stephen Looney, and James Wansley. 1986. "An Application of the Cox Proportional Hazards Model to Bank Failure." Journal of Banking and Finance, vol. 10, no. 4:511-533.
    • (1986) Journal of Banking and Finance , vol.10 , Issue.4 , pp. 511-533
    • Lane, W.1    Looney, S.2    Wansley, J.3
  • 58
    • 84993608428 scopus 로고
    • Corporate Debt Value, Bond Covenants, and Optimal Capital Structure
    • Leland, Hayne. 1994. "Corporate Debt Value, Bond Covenants, and Optimal Capital Structure." Journal of Finance, vol. 49, no. 4 (September):1213-52.
    • (1994) Journal of Finance , vol.49 , Issue.4 SEPTEMBER , pp. 1213-1252
    • Leland, H.1
  • 59
    • 0039021357 scopus 로고    scopus 로고
    • Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads
    • Leland, Hayne, and Klaus Toft. 1996. "Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads." Journal of Finance, vol. 51, no. 3 (July):987-1019.
    • (1996) Journal of Finance , vol.51 , Issue.3 JULY , pp. 987-1019
    • Leland, H.1    Toft, K.2
  • 60
    • 84993865629 scopus 로고
    • A Simple Approach to Valuing Risky Fixed and Floating Rate Debt
    • Longstaff, Francis A., and Eduardo S. Schwartz. 1995a. "A Simple Approach to Valuing Risky Fixed and Floating Rate Debt." Journal of Finance, vol. 50, no. 3 (September):789-819.
    • (1995) Journal of Finance , vol.50 , Issue.3 SEPTEMBER , pp. 789-819
    • Longstaff, F.A.1    Schwartz, E.S.2
  • 61
    • 0002050916 scopus 로고
    • Valuing Credit Derivatives
    • _. 1995b. "Valuing Credit Derivatives." Journal of Fixed Income, vol. 5, no. 2 (June):6-12.
    • (1995) Journal of Fixed Income , vol.5 , Issue.2 JUNE , pp. 6-12
  • 62
    • 85037481458 scopus 로고    scopus 로고
    • Default-Adjusted Spread Duration and Convexity
    • Salomon Smith Barney (November 20)
    • Ma, Winston, and Arvind Rajan. 1998. "Default-Adjusted Spread Duration and Convexity." In Emerging Markets Quantitative Companion. Salomon Smith Barney (November 20).
    • (1998) Emerging Markets Quantitative Companion
    • Ma, W.1    Rajan, A.2
  • 63
    • 54649084437 scopus 로고    scopus 로고
    • Pricing the Risks of Default
    • Madan, Dilip B., and Haluk Unal. 1999. "Pricing the Risks of Default." Review of Derivatives Research, vol. 2, no. 2/3:121-160.
    • (1999) Review of Derivatives Research , vol.2 , Issue.2-3 , pp. 121-160
    • Madan, D.B.1    Unal, H.2
  • 64
    • 0002531461 scopus 로고
    • The Experimental Design of Classification Tests: The Case of Commercial Loan Classifications
    • March/April
    • Marais, M., J. Patell, and M. Wolfson. 1984. "The Experimental Design of Classification Tests: The Case of Commercial Loan Classifications." Journal of Accounting Research, vol. 22, Supplement (March/April).
    • (1984) Journal of Accounting Research , vol.22 , Issue.SUPPL.
    • Marais, M.1    Patell, J.2    Wolfson, M.3
  • 65
    • 0000568325 scopus 로고
    • Risky Debt, Jump Processes and Safety Covenants
    • Mason, Scott, and Sudipto Bhattacharya. 1981. "Risky Debt, Jump Processes and Safety Covenants." Journal of Financial Economics, vol. 9, no. 3 (September):281-307.
    • (1981) Journal of Financial Economics , vol.9 , Issue.3 SEPTEMBER , pp. 281-307
    • Mason, S.1    Bhattacharya, S.2
  • 68
    • 0000808665 scopus 로고
    • On the Pricing of Corporate Debt: The Risk Structure of Interest Rates
    • Merton, Robert C. 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates." Journal of Finance, vol. 29, no. 2 (June):449-470.
    • (1974) Journal of Finance , vol.29 , Issue.2 JUNE , pp. 449-470
    • Merton, R.C.1
  • 70
    • 85037467483 scopus 로고
    • Valuation of Rolling Interest Guarantees
    • Goldman Sachs & Company
    • Nadler, Daniel, and Luis Blaquier. 1994. "Valuation of Rolling Interest Guarantees." Fixed Income Research. Goldman Sachs & Company.
    • (1994) Fixed Income Research
    • Nadler, D.1    Blaquier, L.2
  • 73
    • 84986525488 scopus 로고
    • Determinants of the Ratings and Yields on Corporate Bonds: Tests of the Contingent-Claims Model
    • Ogden, Joseph P. 1987. "Determinants of the Ratings and Yields on Corporate Bonds: Tests of the Contingent-Claims Model." Journal of Financial Research, vol. 10, no. 4:329-339.
    • (1987) Journal of Financial Research , vol.10 , Issue.4 , pp. 329-339
    • Ogden, J.P.1
  • 74
    • 0013286913 scopus 로고
    • Gauging the Default Premium
    • Pye, Gordon. 1974. "Gauging the Default Premium." Financial Analysts Journal, vol. 30, no. 1 (January/February):49-50.
    • (1974) Financial Analysts Journal , vol.30 , Issue.1 JANUARY-FEBRUARY , pp. 49-50
    • Pye, G.1
  • 75
    • 0001912748 scopus 로고
    • Firm Mortality: Using Market Indicators to Predict Survival
    • Queen, Maggie, and Richard Roll. 1987. "Firm Mortality: Using Market Indicators to Predict Survival." Financial Analysts Journal, vol. 43, no. 3 (May/June):9-26.
    • (1987) Financial Analysts Journal , vol.43 , Issue.3 MAY-JUNE , pp. 9-26
    • Queen, M.1    Roll, R.2
  • 76
    • 85037484448 scopus 로고    scopus 로고
    • Implied Term Structures of Default Probability
    • Salomon Smith Barney (August 18)
    • Rajan, Arvind, and Keerthi Angammana. 1998. "Implied Term Structures of Default Probability." Emerging Market Quantitative Companion. Salomon Smith Barney (August 18).
    • (1998) Emerging Market Quantitative Companion
    • Rajan, A.1    Angammana, K.2
  • 77
    • 0000941605 scopus 로고
    • Default Risk, Yield Spreads, and Time to Maturity
    • Rodriguez, Ricardo. 1988. "Default Risk, Yield Spreads, and Time to Maturity." Journal of Financial and Quantitative Analysis, vol. 23, no. 1:111-117.
    • (1988) Journal of Financial and Quantitative Analysis , vol.23 , Issue.1 , pp. 111-117
    • Rodriguez, R.1
  • 79
    • 0000773118 scopus 로고
    • An Alternative to the Yield Spread as a Measure of Risk
    • Silvers, John B. 1973. "An Alternative to the Yield Spread as a Measure of Risk." Journal of Finance, vol. 28, no. 4 (September):933-955.
    • (1973) Journal of Finance , vol.28 , Issue.4 SEPTEMBER , pp. 933-955
    • Silvers, J.B.1
  • 80
    • 0040093929 scopus 로고    scopus 로고
    • Hedging Bonds Subject to Credit Risk
    • Skinner, Frank S. 1998. "Hedging Bonds Subject to Credit Risk." Journal of Banking and Finance, vol. 22, no. 3 (March):321-345.
    • (1998) Journal of Banking and Finance , vol.22 , Issue.3 MARCH , pp. 321-345
    • Skinner, F.S.1
  • 81
    • 84977701086 scopus 로고
    • Valuing Commercial Mortgages: An Empirical Investigation of the Contingent-Claims Approach to Pricing Risky Debt
    • Titman, Sheridan, and Walter Torous. 1989. "Valuing Commercial Mortgages: An Empirical Investigation of the Contingent-Claims Approach to Pricing Risky Debt." Journal of Finance, vol. 44, no. 2 (June):345-373.
    • (1989) Journal of Finance , vol.44 , Issue.2 JUNE , pp. 345-373
    • Titman, S.1    Torous, W.2
  • 83
    • 0347078538 scopus 로고
    • An Equilibrium Characterization of the Term Structure
    • Vasicek, Oldrich. 1977. "An Equilibrium Characterization of the Term Structure." Journal of Financial Economics, vol. 5, no. 2: 177-188.
    • (1977) Journal of Financial Economics , vol.5 , Issue.2 , pp. 177-188
    • Vasicek, O.1
  • 84
    • 0348237755 scopus 로고
    • Working paper, KMV Corporation
    • _. 1984. "Credit Valuation." Working paper, KMV Corporation.
    • (1984) Credit Valuation
  • 85
    • 0347664598 scopus 로고
    • Bond Systematic Risk and the Option Pricing Model
    • Weinstein, Mark I. 1983. "Bond Systematic Risk and the Option Pricing Model." Journal of Finance, vol. 32, no. 2 (June):337-348.
    • (1983) Journal of Finance , vol.32 , Issue.2 JUNE , pp. 337-348
    • Weinstein, M.I.1
  • 87
    • 0040744711 scopus 로고    scopus 로고
    • Portfolio Credit Risk (I)
    • Wilson, Thomas. 1997. "Portfolio Credit Risk (I)." Risk, vol. 10 (September):111-117.
    • (1997) Risk , vol.10 , Issue.SEPTEMBER , pp. 111-117
    • Wilson, T.1
  • 88
    • 84974408703 scopus 로고
    • An Analytical Model of Interest Rate Differentials and Different Default Recoveries
    • Yawitz, Jess. 1977. "An Analytical Model of Interest Rate Differentials and Different Default Recoveries." Journal of Financial and Quantitative Analysis, vol. 12, no. 3:481-490.
    • (1977) Journal of Financial and Quantitative Analysis , vol.12 , Issue.3 , pp. 481-490
    • Yawitz, J.1
  • 89
    • 0001547688 scopus 로고
    • Taxes, Default Risk, and Yield Spreads
    • Yawitz, Jess, Kevin Maloney, and Louis Ederington. 1985. "Taxes, Default Risk, and Yield Spreads." Journal of Finance, vol. 40, no. 4 (September):1127-40.
    • (1985) Journal of Finance , vol.40 , Issue.4 SEPTEMBER , pp. 1127-1140
    • Yawitz, J.1    Maloney, K.2    Ederington, L.3


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.