Credit default swap rates and stock prices

Applied Financial Economics Letters

Volumn 4, Issue 4, 2008, Pages 241-248

  Realdon, Marco ^a  

^a UNIVERSITY OF YORK   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 47049125488     PISSN: 17446546     EISSN: 17446554     Source Type: Journal    
DOI: 10.1080/17446540701720493     Document Type: Article

References (8)

1. Bakshi, G., Madan, D. and Zhang, F. X. (2006) Investigating the role of systematic and firm specific factors in default risk: lessons from empirically evaluating credit risk models, Journal of Business, 79, 1955-87.
2. Duffie, D. and Lando, D. (2001) Term structures of credit spreads with incomplete accounting information, Econometrica, 69, 633-64.
3. Duffie, D. and Singleton, K. (2003) Credit risk: pricing, measurement and management, Princeton Series in Finance.
4. Ericsson, J. and Renault, O. (2001) Liquidity and credit risk, EFA 2003.
5. Forte, S. and Pena, I. (2006) Credit spreads: theory and evidence about the information content of stocks, bonds, CDSs, EFAM 2006.
6. Longstaff, F. A., Mithal, S. and Neis, E. (2005) Corporate yield spreads: default risk or liquidity? New evidence from the credit default swap market, Journal of Finance, 60, 2213-53.
7. Merton, R. (1974) On the pricing of corporate debt: the risk structure of interest rates, Journal of Finance, 29, 449-70.
8. Zhou, C. (2001) A jump-diffusion approach to modelling credit risk and valuing defaultable securities, Journal of Banking and Finance, 25, 2015-40.