Estimating the price of default risk

Review of Financial Studies

Volumn 12, Issue 1, 1999, Pages 197-226

  Duffee, Gregory R ^a  

^a FEDERAL RESERVE BOARD   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0033477947     PISSN: 08939454     EISSN: None     Source Type: Journal    
DOI: 10.1093/rfs/12.1.197     Document Type: Article

References (28)

1. Chen, R.-R., and L. Scott, 1993, "Maximum Likelihood Estimation for a Multifactor Equilibrium Model of the Term Structure of Interest Rates," Journal of Fixed Income, 3, 14-31.
2. Chen, R.-R., and L. Scott, 1995, "Multi-factor Cox-Ingersoll-Ross Models of the Term Structure: Estimates and Tests From a Kalman Filter Model," working paper, University of Georgia.
3. Davidian, M., and R. J. Carroll, 1987, "Variance Function Estimation," Journal of the American Statistical Association, 65, 1509-1526.
4. Duan, J.-C., and J.-G. Simonato, 1997, "Estimating and Testing Exponential-affine Term Structure Models by Kalman Filter," working paper, McGill University.
5. Duffee, G. R., "The Relation Between Treasury Yields and Corporate Bond Yield Spreads," forthcoming in Journal of Finance.
6. Duffie, D., 1996a, Dynamic Asset Pricing Theory (2d ed.), Princeton University Press, Princeton, N.J.
7. Duffie, D., 1996b, "Special Repo Rates," Journal of Finance, 51, 493-526.
8. Duffie, D., and K. J. Singleton, 1995, "Modeling Term Structures of Defaultable Bonds," working paper, Stanford Graduate School of Business.
9. Duffie, D., and K. J. Singleton, 1997, "An Econometric Model of the Term Structure of Interest-Rate Swap Yields," Journal of Finance, 52, 1287-1321.
10. Fons, J. S., 1994, "Using Default Rates to Model the Term Structure of Credit Risk," Financial Analysts Journal, September/October, 25-32.
11. Fons, J. S., L. Carty, and J. Kaufman, 1994, "Corporate Bond Defaults and Default Rates 1970-1993," Moody's Special Report, January.
12. Geyer, A. L. J., and S. Pichler, 1996, "A State-space Approach to Estimate and Test Multi-factor Cox-Ingersoll-Ross Models of the Term Structure," working paper, Vienna University of Technology.
13. Grinblatt, M., 1995, "An Analytical Solution for Interest Rate Swap Spreads," Working Paper 9-94, Anderson Graduate School of Management, UCLA.
14. Helwege, J., and C. M. Turner, 1997, "The Slope of the Credit Yield Curve for Speculative-grade Issuers," working paper. Federal Reserve Bank of New York; forthcoming in Journal of Finance.
15. Jarrow, R. A., D. Lando, and S. M. Turnbull, 1997, "A Markov Model for the Term Structure of Credit Risk Spreads," Review of Financial Studies, 10, 481-523.
16. Jarrow, R. A., and S. M. Turnbull, 1995, "Pricing Derivatives on Financial Securities Subject to Credit Risk," Journal of Finance, 50, 53-86.
17. Jones, E. P., S. P. Mason, and E. Rosenfeld, 1984, "Contingent Claims Analysis of Corporate Capital Structures: An Empirical Investigation," Journal of Finance, 39, 611-625.
18. Kwan, S. H., 1996, "Firm-specific Information and the Correlation Between Individual Stocks and Bonds," Journal of Financial Economics, 40, 63-80.
19. Lando, D., 1994, "On Cox Processes and Credit Risky Bonds," Working Paper 1994-9, Institute of Mathematical Statistics, University of Copenhagen.
20. Litterman, R., and T. Iben, 1991, "Corporate Bond Valuation and the Term Structure of Credit Spreads," Journal of Portfolio Management, Spring, 52-64.
21. Longstaff, F. A., and E. S. Schwartz, 1995, "A Simple Approach to Valuing Risky Fixed and Floating Rate Debt," Journal of Finance, 50, 789-820.
22. Madan, D. B., and H. Unal, 1994, "Pricing the Risks of Default," Working Paper 94-16, Wharton School, University of Pennsylvania.
23. Merton, R. C., 1974, "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, 29, 449-470.
24. Nielsen, S. S., and E. I. Ronn, 1996, "The Valuation of Default Risk in Corporate Bonds and Interest Rate Swaps," working paper, University of Texas at Austin.
25. Pearson, N. D., and T.-S. Sun, 1994, "Exploiting the Conditional Density in Estimating the Term Structure: An Application to the Cox, Ingersoll, and Ross Model," Journal of Finance, 49, 1279-1304.
26. Sarig, O., and A. Warga, 1989, "Some Empirical Estimates of the Risk Structure of Interest Rates," Journal of Finance, 44, 1351-1360.
27. Warga, A., 1997, "A Fixed Income Data Base," working paper, University of Houston.
28. Zhou, C., 1997, "A Jump-diffusion Approach to Modeling Credit Risk and Valuing Defaultable Securities," Working Paper 1997-15, Federal Reserve Board.