Pricing Credit Derivatives with Rating Transitions

Financial Analysts Journal

Volumn 58, Issue 3, 2002, Pages

  Acharya, Viral V ^a   Das, Sanjiv Ranjan ^a   Sundaram, Rangarajan K ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0344539359     PISSN: 0015198X     EISSN: None     Source Type: Journal    
DOI: 10.2469/faj.v58.n3.2536     Document Type: Article

References (47)

1. Adler, D., and E. Altman. 1998. "The Anatomy of the High Yield Bond Market." Global Corporate Bond Research, Salomon Smith Barney.
2. Altman, E., and V. Kishore. 1996. "Almost Everything You Wanted to Know about Recoveries on Defaulted Bonds." Financial Analysts Journal, vol. 52, no. 6 (November/ December):57-63.
3. Arvantis, A., J. Gregory, and J-P. Laurent. 1999. "Building Models for Credit Spreads." Journal of Derivatives, vol. 6, no. 3 (Spring):27-43.
4. Bhattacharya, S., and S. Mason. 1981. "Risky Debt, Jump Processes and Safety Covenants." Journal of Financial Economics, vol. 9, no. 3:281-307.
5. Bielecki, T.R., and M. Rutkowski. 2000. "Multiple Ratings Model of Defaultable Term Structure." Mathematical Finance, vol. 10, no. 2 (April):125-139.
6. Black, F., and J. Cox. 1976. "Valuing Corporate Securities: Some Effects of Bond Indenture Provisions." Journal of Finance, vol. 31, no. 2 (May):361-367.
7. Black, F., and M. Scholes. 1973. "The Pricing of Options and Corporate Liabilities." Journal of Political Economy, vol. 81, no. 3 (May/June):637-654.
8. Black, F., E. Derman, and W. Toy. 1990. "A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options." Financial Analysts Journal, vol. 46, no. 1 (January/February):33-39.
9. Crosbie, P. 1997. "Modeling Default Risk." KMV Corporation.
10. Das, S.R. 1995. "Credit Risk Derivatives." Journal of Derivatives, vol. 2, no. 3 (Spring):7-23.
11. Das, S.R. 1999. "Pricing Credit Derivatives." In Handbook of Credit Derivatives. Edited by J. Francis, J. Frost, and J.G. Whittaker. New York: McGraw-Hill.
12. Das, S.R., and R. Sundaram. 2000. "A Discrete-Time Approach to Arbitrage-Free Pricing of Credit Derivatives." Management Science, vol. 46, no. 1 (January):46-62.
13. Das, S.R., and P. 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.
14. Delianedis, G., and R. Geske. 1998. "Credit Risk and Risk Neutral Default Probabilities: Information about Rating Migrations and Defaults." Working paper, University of California, Los Angeles.
15. Duffee, G. 1998. "The Relation between Treasury Yields and Corporate Bond Yield Spreads." Journal of Finance, vol. 53, no. 6 (December):2225-42.
16. _. 1999. "Estimating the Price of Default Risk." Review of Financial Studies, vol. 12, no. 1 (January):197-226.
17. Duffie, D. 1999. "Credit Swap Valuation." Financial Analysts Journal, vol. 55, no. 1 (January/February):73-87.
18. Duffie, D., and M. Huang. 1996. "Swap Rates and Credit Quality." Journal of Finance, vol. 51, no. 3 (July):921-950.
19. Duffie, D., and K. Singleton. 1999. "Modeling Term Structures of Defaultable Bonds." Review of Financial Studies, vol. 12, no. 4 (October):687-720.
20. Duffie, D., M. Schroder, and C. Skiadas. 1996. "Recursive Valuation of Defaultable Securities and the Timing of Resolution of Uncertainty." Annals of Applied Probability, vol. 6, no. 4 (November):1075-90.
21. Geske, R. 1977. "Valuation of Corporate Liabilities as Compound Options." Journal of Financial and Quantitative Analysis, vol. 12, no. 4 (November):541-552.
22. Harrison, J.M., and D.M. Kreps. 1979. "Martingales and Arbitrage in Multi-Period Securities Markets." Journal of Economic Theory, vol. 20, no. 3 (June):381-408.
23. Harrison, J.M., and S.R. Pliska. 1980. "Martingales and Stochastic Integrals in the Theory of Continuous Trading." Stochastic Processes and Their Applications, vol. 11 (January):215-260.
24. Heath, D., R.A. Jarrow, and A. Morton. 1990. "Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation." Journal of Financial and Quantitative Analysis, vol. 25, no. 4 (December):419-440.
25. Huang, J. 1996. "Option to Default and Optimal Debt Service." Working paper, New York University.
26. Jarrow, R., and S. Turnbull. 1995. "Pricing Derivatives on Financial Securities Subject to Credit Risk." Journal of Finance, vol. 50, no. 1 (March):53-86.
27. Jarrow, R., D. Lando, and S. Turnbull. 1997. "A Markov Model for the Term Structure of Credit Spreads." Review of Financial Studies, vol. 10, no. 2 (April):481-523.
28. Kijima, M. 1998. "Monotonicities in a Markov Chain Model for Valuing Corporate Bonds Subject to Credit Risk." Mathematical Finance, vol. 8, no. 3 (July):229-247.
29. Kijima, M., and K. Komoribayashi. 1998. "A Markov Chain Model for Valuing Credit Derivatives." Journal of Derivatives, vol. 6, no. 1 (Fall):97-108.
30. Kim, I.J., K. Ramaswamy, and S. Sundaresan. 1989. "The Valuation of Corporate Fixed Income Securities." Working paper, Wharton School, University of Pennsylvania.
31. _. 1993. "Does Default Risk in Coupons Affect the Valuation of Corporate Bonds?: A Contingent Claims Model." Financial Management, vol. 22, no. 3 (Autumn):117-131.
32. KMV Corporation. 1993. Credit Monitor Overview. San Francisco, CA.
33. Lando, D. 1998. "Cox Processes and Credit-Risky Bonds." Review of Derivatives Research, vol. 2, no. 2/3:99-120.
34. Leland, H. 1994. "Corporate Debt Value, Bond Covenants, and Optimal Capital Structure." Journal of Finance, vol. 49, no. 4 (September):1213-52.
35. Longstaff, F., and E. Schwartz. 1995. "A Simple Approach to Valuing Risky Fixed and Floating Rate Debt." Journal of Finance, vol. 50, no. 3 (July):789-819.
36. Madan, D., and H. Unal. 1998. "Pricing the Risks of Default." Review of Derivatives Research, vol. 2, no. 2/3:121-160.
37. Madan, D., and H. Unal. 2000. "A Two Factor Hazard Rate Model for Pricing Risky Debt in a Complex Capital Structure." Journal of Financial and Quantitative Analysis, vol. 35, no. 1 (March):43-65.
38. Merton, R.C. 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates." Journal of Finance, vol. 29, no. 2 (May):449-470.
39. Neilsen, L., J. Saa-Requejo, and P. Santa-Clara. 1993. "Default Risk and Interest Rate Risk: The Term Structure of Default Spreads." Working paper, INSEAD, Fontainbleau, France.
40. Press, W.H., S.A. Teukofsky, W.T. Vetterling, and B.P. Flannery. 1992. Numerical Recipes in C. 2nd ed. Cambridge, U.K.: Cambridge University Press.
41. Ramaswamy, K., and S. Sundaresan. 1986. "The Valuation of Floating Rate Instruments: Theory and Evidence." Journal of Financial Economics, vol. 17, no. 2 (December):251-272.
42. Schönbucher, P.J. 1998. "Term Structure Modeling of Defaultable Bonds." Review of Derivatives Research, vol. 2, no. 2/3:161-192.
43. Shimko, D., N. Tejima, and D. Van-Deventer. 1993. "The Pricing of Risky Debt When Interest Rates Are Stochastic." Journal of Fixed Income, vol. 3, no. 2 (September):58-65.
44. Skora, R. 1998. "Credit Modeling and Credit Derivatives: Rational Modeling." Working paper, Skora and Company.
45. Vasicek, O. 1977. "An Equilibrium Characterization of the Term Structure." Journal of Financial Economics, vol. 5, no. 2 (November):177-188.
46. Wilson, T. 1997. "Portfolio Credit Risk (I)." Risk, vol. 10, no. 9 (September):111-117.
47. Wolfram, S. 1988. Mathematica: A System for Doing Mathematics by Computer. Redwood City, CA: Addison-Wesley.