-
1
-
-
0002263189
-
Valuation of Default Risky Interest Rate Swaps
-
Abken, P. (1993). Valuation of Default Risky Interest Rate Swaps. Advances in Futures and Options 6, 93-116.
-
(1993)
Advances in Futures and Options
, vol.6
, pp. 93-116
-
-
Abken, P.1
-
3
-
-
85005305538
-
The Market for 'Lemons:' Qualitative Uncertainty and the Market Mechanism
-
Akerlof, G. (1970). The Market for 'Lemons:' Qualitative Uncertainty and the Market Mechanism. Quarterly Journal of Economics 89, 488-500.
-
(1970)
Quarterly Journal of Economics
, vol.89
, pp. 488-500
-
-
Akerlof, G.1
-
4
-
-
84980104458
-
Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy
-
Altman, E. (1968). Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy. Journal of Finance 23, 589-609.
-
(1968)
Journal of Finance
, vol.23
, pp. 589-609
-
-
Altman, E.1
-
5
-
-
84977717232
-
Measuring Corporate Bond Mortality and Performance
-
Altman, E. (1989). Measuring Corporate Bond Mortality and Performance. The Journal of Finance 44, 909-922.
-
(1989)
The Journal of Finance
, vol.44
, pp. 909-922
-
-
Altman, E.1
-
6
-
-
0012895075
-
Defaults and Returns on High-Yield Bonds Through the First Half of 1991
-
November-December
-
Altman, E. (1991). Defaults and Returns on High-Yield Bonds Through the First Half of 1991. Financial Analysts Journal , November-December, 67-77.
-
(1991)
Financial Analysts Journal
, pp. 67-77
-
-
Altman, E.1
-
7
-
-
0008565097
-
Defaults and Returns on High Yield Bonds: Analysis Through 1994
-
Working Paper, New York University Salomon Center
-
Altman, E., and V. Kishore (1995). Defaults and Returns on High Yield Bonds: Analysis Through 1994. Working Paper, New York University Salomon Center.
-
(1995)
-
-
Altman, E.1
Kishore, V.2
-
8
-
-
84884082428
-
Endogenous Sampling in Duration Models
-
Working Paper, Department of Economics, Stanford University
-
Amemiya, T. (2001). Endogenous Sampling in Duration Models. Working Paper, Department of Economics, Stanford University.
-
(2001)
-
-
Amemiya, T.1
-
9
-
-
33947718959
-
A Comparison of the Logit Model and Normal Discriminant Analysis When the Independent Variables Are Binary
-
In S. Karlin, T. Amemiya, and L. Goodman (Eds.), Studies in Econometrics, Time Series, and Multivariate Statistics. New York: Academic Press
-
Amemiya, T., and J. Powell (1983). A Comparison of the Logit Model and Normal Discriminant Analysis When the Independent Variables Are Binary. In S. Karlin, T. Amemiya, and L. Goodman (Eds.), Studies in Econometrics, Time Series, and Multivariate Statistics. New York: Academic Press.
-
(1983)
-
-
Amemiya, T.1
Powell, J.2
-
10
-
-
84977725247
-
Liquidity, Maturity and the Yields on U.S. Government Securities
-
Amihud, Y., and H. Mendelson (1991). Liquidity, Maturity and the Yields on U.S. Government Securities. Journal of Finance 46, 1411-1426.
-
(1991)
Journal of Finance
, vol.46
, pp. 1411-1426
-
-
Amihud, Y.1
Mendelson, H.2
-
11
-
-
0003572485
-
Statistical Models of CountingProcesses
-
New York: Springer
-
Andersen, P., Ø. Borgan, R. Gill, and N. Keiding (1993). Statistical Models of CountingProcesses. New York: Springer.
-
(1993)
-
-
Andersen, P.1
Borgan, O.2
Gill, R.3
Keiding, N.4
-
12
-
-
0012692686
-
An Empirical Investigation of Continuous-Time Equity Return Models
-
Andersen, T., L. Benzoni, and J. Lund (2002). An Empirical Investigation of Continuous-Time Equity Return Models. Journal of Finance 57, 1239-1284.
-
(2002)
Journal of Finance
, vol.57
, pp. 1239-1284
-
-
Andersen, T.1
Benzoni, L.2
Lund, J.3
-
14
-
-
84986870134
-
Default Risk Insurance and Incomplete Markets
-
Artzner, P., and F. Delbaen (1995). Default Risk Insurance and Incomplete Markets. Mathematical Finance 5, 187-195.
-
(1995)
Mathematical Finance
, vol.5
, pp. 187-195
-
-
Artzner, P.1
Delbaen, F.2
-
15
-
-
0033412999
-
Coherent Measures of Risk
-
Artzner, P., F. Delbaen, J. Eber, and D. Heath (1999). Coherent Measures of Risk. Mathematical Finance 9, 203-228.
-
(1999)
Mathematical Finance
, vol.9
, pp. 203-228
-
-
Artzner, P.1
Delbaen, F.2
Eber, J.3
Heath, D.4
-
16
-
-
84924738732
-
Building Models for Credit Spreads
-
Spring
-
Arvanitis, A., J. Gregory, and J. Laurent (1999). Building Models for Credit Spreads. The Journal of Derivatives 6, Spring, 27-43.
-
(1999)
The Journal of Derivatives
, vol.6
, pp. 27-43
-
-
Arvanitis, A.1
Gregory, J.2
Laurent, J.3
-
17
-
-
84993905056
-
Convertible Bonds Are Not Called Late
-
Asquith, P. (1995). Convertible Bonds Are Not Called Late. Journal of Finance 50, 1275-1290.
-
(1995)
Journal of Finance
, vol.50
, pp. 1275-1290
-
-
Asquith, P.1
-
18
-
-
0000570595
-
Spanning and Derivative-Security Valuation
-
Bakshi, G., and D. Madan (2000). Spanning and Derivative-Security Valuation. Journal of Financial Economics 55, 205-238.
-
(2000)
Journal of Financial Economics
, vol.55
, pp. 205-238
-
-
Bakshi, G.1
Madan, D.2
-
19
-
-
0040517321
-
Empirical Performance of Alternative Option Pricing Models
-
Bakshi, G., C. Cao, and Z. Chen (1997). Empirical Performance of Alternative Option Pricing Models. Journal of Finance 52, 2003-2049.
-
(1997)
Journal of Finance
, vol.52
, pp. 2003-2049
-
-
Bakshi, G.1
Cao, C.2
Chen, Z.3
-
20
-
-
0037798126
-
Investigating the Sources of Default Risk: Lessons from Empirically Evaluating Credit Risk Models
-
Working Paper, University of Maryland
-
Bakshi, G., D. Madan, and F. Zhang (2001). Investigating the Sources of Default Risk: Lessons from Empirically Evaluating Credit Risk Models. Working Paper, University of Maryland.
-
(2001)
-
-
Bakshi, G.1
Madan, D.2
Zhang, F.3
-
21
-
-
0003646069
-
Statistical Theory of Reliability and Life Testing
-
Silver Spring, Md: Holt, Rinehart and Winston
-
Barlow, R., and F. Proschan (1981). Statistical Theory of Reliability and Life Testing. Silver Spring, Md: Holt, Rinehart and Winston.
-
(1981)
-
-
Barlow, R.1
Proschan, F.2
-
22
-
-
0042585902
-
Treatment of Potential Exposure for Off-Balance Sheet Items
-
Basle Committee on Banking Supervision and IOSCO
-
Basle Committee on Banking Supervision and IOSCO (1995). Treatment of Potential Exposure for Off-Balance Sheet Items.
-
(1995)
-
-
-
23
-
-
0003484708
-
Amendment to the Capital Accord to Incorporate Market Risks
-
Barlow, R. (1996). Amendment to the Capital Accord to Incorporate Market Risks.
-
(1996)
-
-
Barlow, R.1
-
24
-
-
84883948336
-
Survey of Disclosures about Trading and Derivatives Activities of Banks and Securities Firms
-
Barlow, R. (1997). Survey of Disclosures about Trading and Derivatives Activities of Banks and Securities Firms.
-
(1997)
-
-
Barlow, R.1
-
25
-
-
0030534228
-
Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in PHLX Deutschemark Options
-
Bates, D. (1996). Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in PHLX Deutschemark Options. Review of Financial Studies 9, 69-107.
-
(1996)
Review of Financial Studies
, vol.9
, pp. 69-107
-
-
Bates, D.1
-
26
-
-
0000833419
-
Post-'87 Crash Fears in S&P 500 Futures Options
-
Bates, D. (1997). Post-'87 Crash Fears in S&P 500 Futures Options. Journal of Econometrics 94, 181-238.
-
(1997)
Journal of Econometrics
, vol.94
, pp. 181-238
-
-
Bates, D.1
-
27
-
-
0002293092
-
General Solutions to Some Interest Rate Contingent Claim Pricing Equations
-
Beaglehole, D. R., and M. S. Tenney (1991). General Solutions to Some Interest Rate Contingent Claim Pricing Equations. Journal of Fixed Income 1, 69-83.
-
(1991)
Journal of Fixed Income
, vol.1
, pp. 69-83
-
-
Beaglehole, D.R.1
Tenney, M.S.2
-
29
-
-
77953161551
-
On the Predictive Power of Interest Rates and Interest Rate Spreads
-
New England Economic Review
-
Bernanke, B. (1990). On the Predictive Power of Interest Rates and Interest Rate Spreads. New England Economic Review, 51-68.
-
(1990)
, pp. 51-68
-
-
Bernanke, B.1
-
30
-
-
84884079371
-
Modeling of the Defaultable Term Structure: Conditionally Markov Approach
-
Working Paper, Department of Mathematics, Northeastern University
-
Bielecki, T., and M. Rutkowski (2000a). Modeling of the Defaultable Term Structure: Conditionally Markov Approach. Working Paper, Department of Mathematics, Northeastern University.
-
(2000)
-
-
Bielecki, T.1
Rutkowski, M.2
-
31
-
-
0040807573
-
Multiple Ratings of Defaultable TermStructure
-
Bielecki, T. (2000b). Multiple Ratings of Defaultable TermStructure. Mathematical Finance 10, 125-139.
-
(2000)
Mathematical Finance
, vol.10
, pp. 125-139
-
-
Bielecki, T.1
-
32
-
-
0347239544
-
Credit Risk: Modeling, Valuation, and Hedging
-
New York: Springer
-
Bielecki, T. (2002). Credit Risk: Modeling, Valuation, and Hedging. New York: Springer.
-
(2002)
-
-
Bielecki, T.1
-
33
-
-
84944831925
-
Valuing Corporate Securities: Liabilities: Some Effects of Bond Indenture Provisions
-
Black, F., and J. Cox (1976). Valuing Corporate Securities: Liabilities: Some Effects of Bond Indenture Provisions. Journal of Finance 31, 351-367.
-
(1976)
Journal of Finance
, vol.31
, pp. 351-367
-
-
Black, F.1
Cox, J.2
-
34
-
-
85015692260
-
The Pricing of Options and Corporate Liabilities
-
Black, F., and M. Scholes (1973). The Pricing of Options and Corporate Liabilities. Journal of Political Economy 81, 637-654.
-
(1973)
Journal of Political Economy
, vol.81
, pp. 637-654
-
-
Black, F.1
Scholes, M.2
-
35
-
-
0002236450
-
Realized Returns and Defaults on Low- Grade Bonds: The Cohort of 1977 and 1978
-
March-April
-
Blume, M., and D. Keim (1991). Realized Returns and Defaults on Low- Grade Bonds: The Cohort of 1977 and 1978. Financial Analysts Journal , March-April, 63-72.
-
(1991)
Financial Analysts Journal
, pp. 63-72
-
-
Blume, M.1
Keim, D.2
-
36
-
-
84977708810
-
Returns and Volatility of Low-Grade Bonds: 1977-1989
-
Blume, M., D. Keim, and S. Patel (1991). Returns and Volatility of Low-Grade Bonds: 1977-1989. Journal of Finance 46, 49-74.
-
(1991)
Journal of Finance
, vol.46
, pp. 49-74
-
-
Blume, M.1
Keim, D.2
Patel, S.3
-
37
-
-
0040757858
-
The Declining Credit Quality of US Corporate Debt: Myth or Reality
-
Blume, M., F. Lim, and C. MacKinlay (1998). The Declining Credit Quality of US Corporate Debt: Myth or Reality. Journal of Finance 53, 1389-1413.
-
(1998)
Journal of Finance
, vol.53
, pp. 1389-1413
-
-
Blume, M.1
Lim, F.2
MacKinlay, C.3
-
38
-
-
84884047245
-
Empirical Assessment of a Simple Contingent-Claims Model for the Valuation of Risky Debt
-
Working Paper, University of California, Berkeley
-
Bohn, J. (1999). Empirical Assessment of a Simple Contingent-Claims Model for the Valuation of Risky Debt. Working Paper, University of California, Berkeley.
-
(1999)
-
-
Bohn, J.1
-
39
-
-
42449156579
-
Generalized Autoregressive Conditional Heteroskedasticity
-
Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics 31, 307-327.
-
(1986)
Journal of Econometrics
, vol.31
, pp. 307-327
-
-
Bollerslev, T.1
-
40
-
-
34848900983
-
ARCH Modeling in Finance: A Review of Theory and Empirical Evidence
-
Bollerslev, T., R. Chou, and K. Kroner (1992). ARCH Modeling in Finance: A Review of Theory and Empirical Evidence. Journal of Econometrics 52, 5-59.
-
(1992)
Journal of Econometrics
, vol.52
, pp. 5-59
-
-
Bollerslev, T.1
Chou, R.2
Kroner, K.3
-
41
-
-
33751584622
-
Endogeneous Default under Lévy Processes
-
Working Paper, Department of Economics, University of Pennsylvania
-
Boyarchenko, S. (2000). Endogeneous Default under Lévy Processes. Working Paper, Department of Economics, University of Pennsylvania.
-
(2000)
-
-
Boyarchenko, S.1
-
42
-
-
77951222849
-
Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets
-
Working Paper, Wharton School, University of Pennsylvania
-
Brandt, M., and P. Santa-Clara (2001). Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets. Working Paper, Wharton School, University of Pennsylvania.
-
(2001)
-
-
Brandt, M.1
Santa-clara, P.2
-
43
-
-
84967686693
-
Convertible Bonds: Valuation and Optimal Strategies for Call and Conversion
-
Journal of Finance
-
Brennan, M., and E. Schwartz (1977). Convertible Bonds: Valuation and Optimal Strategies for Call and Conversion. Journal of Finance 32, 1699-1715.
-
(1977)
, vol.32
, pp. 1699-1715
-
-
Brennan, M.1
Schwartz, E.2
-
46
-
-
84936628561
-
A Constant Recontracting Model of Sovereign Debt
-
Bulow, J., and K. Rogoff (1989a). A Constant Recontracting Model of Sovereign Debt. Journal of Political Economy 97, 155-178.
-
(1989)
Journal of Political Economy
, vol.97
, pp. 155-178
-
-
Bulow, J.1
Rogoff, K.2
-
47
-
-
0002522316
-
Sovereign Debt: Is to Forgive to Forget?
-
Bulow, J. (1989b). Sovereign Debt: Is to Forgive to Forget? American Economic Review 79, 43-50.
-
(1989)
American Economic Review
, vol.79
, pp. 43-50
-
-
Bulow, J.1
-
48
-
-
0002481622
-
Determinants and Impact of Sovereign Credit Ratings
-
October
-
Cantor, R., and F. Packer (1996). Determinants and Impact of Sovereign Credit Ratings. FRBNY Economic Policy Review, October, 37-53.
-
(1996)
FRBNY Economic Policy Review
, pp. 37-53
-
-
Cantor, R.1
Packer, F.2
-
49
-
-
0039491257
-
Credit Risk in Private Debt Portfolios
-
Carey, M. (1998). Credit Risk in Private Debt Portfolios. Journal of Finance 53, 1363-1388.
-
(1998)
Journal of Finance
, vol.53
, pp. 1363-1388
-
-
Carey, M.1
-
50
-
-
0010200123
-
Measuring Changes in Corporate Credit Quality
-
June
-
Carty, L., and J. Fons (1994). Measuring Changes in Corporate Credit Quality. The Journal of Fixed Income 4, June, 27-41.
-
(1994)
The Journal of Fixed Income
, vol.4
, pp. 27-41
-
-
Carty, L.1
Fons, J.2
-
52
-
-
44649169873
-
Bankruptcy Prediction with Industry Effects, Market Versus Accounting Variables, and Reduced Form Credit Risk Models
-
Working Paper, Cornell University
-
Chava, S., and R. Jarrow (2001). Bankruptcy Prediction with Industry Effects, Market Versus Accounting Variables, and Reduced Form Credit Risk Models. Working Paper, Cornell University.
-
(2001)
-
-
Chava, S.1
Jarrow, R.2
-
53
-
-
0001854590
-
Maximum Likelihood Estimation for a Multifactor Equilibrium Model of the Term Structure of Interest Rates
-
December
-
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, December, 14-31.
-
(1993)
Journal of Fixed Income
, vol.3
, pp. 14-31
-
-
Chen, R.-R.1
Scott, L.2
-
54
-
-
0002117097
-
Interest Rate Options in Multifactor Cox-Ingersoll-Ross Models of the Term Structure
-
Winter
-
Chen, R.-R. (1995). Interest Rate Options in Multifactor Cox-Ingersoll-Ross Models of the Term Structure. Journal of Derivatives 3, Winter, 53-72.
-
(1995)
Journal of Derivatives
, vol.3
, pp. 53-72
-
-
Chen, R.-R.1
-
55
-
-
0001949349
-
What Data Should Be Used to Price Options?
-
Working Paper, Department of Finance, Pennsylvania State University
-
Chernov, M., and E. Ghysels (1998). What Data Should Be Used to Price Options? Working Paper, Department of Finance, Pennsylvania State University.
-
(1998)
-
-
Chernov, M.1
Ghysels, E.2
-
56
-
-
0041640016
-
Provincial Credit Ratings in Canada: An Ordered Probit Analysis
-
Working Paper, Bank of Canada Working Paper
-
Cheung, S. (1996). Provincial Credit Ratings in Canada: An Ordered Probit Analysis. Working Paper, Bank of Canada Working Paper 96-6.
-
(1996)
, pp. 96-96
-
-
Cheung, S.1
-
57
-
-
0039107315
-
Do Credit Spreads Reflect Stationary Leverage Ratios? Reconciling Structural and Reduced Form Frameworks
-
Collin-Dufresne, P., and R. Goldstein (2001). Do Credit Spreads Reflect Stationary Leverage Ratios? Reconciling Structural and Reduced Form Frameworks. Journal of Finance 56, 1929-1958.
-
(2001)
Journal of Finance
, vol.56
, pp. 1929-1958
-
-
Collin-dufresne, P.1
Goldstein, R.2
-
58
-
-
0040162358
-
On the TermStructure of Default Premia in the Swap and LIBOR Markets
-
Collin-Dufresne, P., and B. Solnik (2001). On the TermStructure of Default Premia in the Swap and LIBOR Markets. Journal of Finance 56, 1095-1116.
-
(2001)
Journal of Finance
, vol.56
, pp. 1095-1116
-
-
Collin-dufresne, P.1
Solnik, B.2
-
60
-
-
21144481604
-
A Theory of the Nominal Term Structure of Interest Rates
-
Constantinides, G. (1992). A Theory of the Nominal Term Structure of Interest Rates. Review of Financial Studies 5, 531-552.
-
(1992)
Review of Financial Studies
, vol.5
, pp. 531-552
-
-
Constantinides, G.1
-
61
-
-
84977724789
-
The Default Risk of Swaps
-
Cooper, I., and A. Mello (1991). The Default Risk of Swaps. Journal of Finance 46, 597-620.
-
(1991)
Journal of Finance
, vol.46
, pp. 597-620
-
-
Cooper, I.1
Mello, A.2
-
62
-
-
84883965957
-
Swap Credit Risk: An Empirical Investigation on Transaction Data
-
Working Paper, HEC, University of Lausanne
-
Cossin, D., and H. Pirotte (1996). Swap Credit Risk: An Empirical Investigation on Transaction Data.Working Paper, HEC, University of Lausanne.
-
(1996)
-
-
Cossin, D.1
Pirotte, H.2
-
63
-
-
0008064398
-
Improving Counterparty Risk Management Practices
-
Counterparty Risk Management Policy Group, Working Paper, Counterparty Risk Management Policy Group
-
Counterparty Risk Management Policy Group (1999). Improving Counterparty Risk Management Practices. Working Paper, Counterparty Risk Management Policy Group.
-
(1999)
-
-
-
64
-
-
0004006323
-
Options Markets
-
Englewood Cliffs, N.J.: Prentice-Hall
-
Cox, J., and M. Rubinstein (1985). Options Markets. Englewood Cliffs, N.J.: Prentice-Hall.
-
(1985)
-
-
Cox, J.1
Rubinstein, M.2
-
66
-
-
0001205798
-
A Theory of the Term Structure of Interest Rates
-
Cox, J. C. (1985). A Theory of the Term Structure of Interest Rates. Econometrica 53, 385-407.
-
(1985)
Econometrica
, vol.53
, pp. 385-407
-
-
Cox, J.C.1
-
67
-
-
84884056582
-
Measuring Risk Adjusted Performance
-
Working Paper, Global Analytics, CIBC
-
Crouhy, M., S. Turnbull, and L. Wakeman (1998). Measuring Risk Adjusted Performance. Working Paper, Global Analytics, CIBC.
-
(1998)
-
-
Crouhy, M.1
Turnbull, S.2
Wakeman, L.3
-
69
-
-
84884024338
-
-
New York: McGraw-Hill
-
Crouhy, M. (2001). Risk Management. New York: McGraw-Hill.
-
(2001)
-
-
Crouhy, M.1
-
70
-
-
0008766361
-
Specification Analysis of Affine Term Structure Models
-
Dai, Q., and K. Singleton (2000). Specification Analysis of Affine Term Structure Models. Journal of Finance 55, 1943-1978.
-
(2000)
Journal of Finance
, vol.55
, pp. 1943-1978
-
-
Dai, Q.1
Singleton, K.2
-
71
-
-
0036221014
-
Expectations Puzzles, Time-Varying Risk Premia, and Affine Models of the Term Structure
-
Dai, Q. (2002). Expectations Puzzles, Time-Varying Risk Premia, and Affine Models of the Term Structure. Journal of Financial Economics 63, 415-441.
-
(2002)
Journal of Financial Economics
, vol.63
, pp. 415-441
-
-
Dai, Q.1
-
72
-
-
84884057481
-
Modeling the Processes of Correlated Default
-
Working Paper, Santa Clara University
-
Das, S., and G. Geng (2002). Modeling the Processes of Correlated Default. Working Paper, Santa Clara University.
-
(2002)
-
-
Das, S.1
Geng, G.2
-
74
-
-
0001430385
-
Pricing Credit-Sensitive Debt When Interest Rates Credit Ratings and Credit Spreads Are Stochastic
-
No.
-
Das, S., and P. Tufano (1996). Pricing Credit-Sensitive Debt When Interest Rates Credit Ratings and Credit Spreads Are Stochastic. The Journal of Financial Engineering 5, No. 2, 161-198.
-
(1996)
The Journal of Financial Engineering
, vol.5
, pp. 161-198
-
-
Das, S.1
Tufano, P.2
-
75
-
-
0346198182
-
Correlated Default Risk
-
Working Paper, Santa Clara University
-
Das, S., L. Freed, G. Geng, and N. Kapadia (2002). Correlated Default Risk. Working Paper, Santa Clara University.
-
(2002)
-
-
Das, S.1
Freed, L.2
Geng, G.3
Kapadia, N.4
-
76
-
-
25144455267
-
Infectious Default
-
Working Paper, Research and Product Development, Tokyo-Mitsubishi International Plc, London
-
Davis, M., and V. Lo (1999). Infectious Default.Working Paper, Research and Product Development, Tokyo-Mitsubishi International Plc, London.
-
(1999)
-
-
Davis, M.1
Lo, V.2
-
77
-
-
84874386844
-
Modeling Default Correlation in Bond Portfolios
-
Working Paper, Imperial Collge, London
-
Davis, M. (2000). Modeling Default Correlation in Bond Portfolios. Working Paper, Imperial Collge, London.
-
(2000)
-
-
Davis, M.1
-
78
-
-
0001249935
-
A General Version of the Fundamental Theorem of Asset Pricing
-
Mathematische Annalen
-
Delbaen, F., andW. Schachermayer (1999). A General Version of the Fundamental Theorem of Asset Pricing. Mathematische Annalen 300, 463-520.
-
(1999)
, vol.300
, pp. 463-520
-
-
Delbaen, F.1
Schachermayer, W.2
-
79
-
-
0004297080
-
Credit Risk and Risk Neutral Default Probabilities: Information about Rating Migrations and Defaults
-
Working Paper, Working Paper 19-98, Anderson Graduate School of Business, University of California, Los Angeles
-
Delianedis, G., and R. Geske (1998). Credit Risk and Risk Neutral Default Probabilities: Information about Rating Migrations and Defaults. Working Paper, Working Paper 19-98, Anderson Graduate School of Business, University of California, Los Angeles.
-
(1998)
-
-
Delianedis, G.1
Geske, R.2
-
80
-
-
84884023513
-
Pooling and Tranching of Securities
-
Working Paper, Haas School of Business, University of California, Berkeley
-
DeMarzo, P. (1998). Pooling and Tranching of Securities. Working Paper, Haas School of Business, University of California, Berkeley.
-
(1998)
-
-
DeMarzo, P.1
-
81
-
-
0000969763
-
Corporate Financial Hedging with Proprietary Information
-
DeMarzo, P., and D. Duffie (1991). Corporate Financial Hedging with Proprietary Information. Journal of Economic Theory 53, 261-286.
-
(1991)
Journal of Economic Theory
, vol.53
, pp. 261-286
-
-
DeMarzo, P.1
Duffie, D.2
-
82
-
-
0002550734
-
A Liquidity-Based Model of Security Design
-
DeMarzo, P. (1999). A Liquidity-Based Model of Security Design. Econometrica 67, 65-99.
-
(1999)
Econometrica
, vol.67
, pp. 65-99
-
-
DeMarzo, P.1
-
83
-
-
9944252145
-
Modelling Credit Migration
-
February
-
Demchak, B. (2000). Modelling Credit Migration. RISK , February, 99-103.
-
(2000)
RISK
, pp. 99-103
-
-
Demchak, B.1
-
84
-
-
0010861058
-
A Framework for Voluntary Oversight of the OTC Derivatives Activities of Securities Firm Affiliates to Promote Confidence and Stability in Financial Markets
-
Derivatives Policy Group, New York
-
Derivatives Policy Group (1995). A Framework for Voluntary Oversight of the OTC Derivatives Activities of Securities Firm Affiliates to Promote Confidence and Stability in Financial Markets. New York.
-
(1995)
-
-
-
85
-
-
84884062959
-
Global Emerging Markets-Debt Strategy
-
Deutsche Bank Research, Working Paper, Deutsche Bank
-
Deutsche Bank Research (1999). Global Emerging Markets-Debt Strategy. Working Paper, Deutsche Bank.
-
(1999)
-
-
-
86
-
-
0004163762
-
The Prudential Regulation of Banks
-
Cambridge: MIT Press
-
Dewatripont, M., and J. Tirole (1993). The Prudential Regulation of Banks. Cambridge: MIT Press.
-
(1993)
-
-
Dewatripont, M.1
Tirole, J.2
-
87
-
-
0011603540
-
The Relation between Treasury Yields and Corporate Bond Yield Spreads
-
Duffee, G. (1998). The Relation between Treasury Yields and Corporate Bond Yield Spreads. Journal of Finance 53, 2225-2242.
-
(1998)
Journal of Finance
, vol.53
, pp. 2225-2242
-
-
Duffee, G.1
-
88
-
-
0033477947
-
Estimating the Price of Default Risk
-
Duffee, G. (1999). Estimating the Price of Default Risk. The Review of Financial Studies 12, 197-226.
-
(1999)
The Review of Financial Studies
, vol.12
, pp. 197-226
-
-
Duffee, G.1
-
89
-
-
0041589839
-
Term Premia and Interest Rate Forecasts in Affine Models
-
Duffee, G. (2002). Term Premia and Interest Rate Forecasts in Affine Models. Journal of Finance 57, 405-443.
-
(2002)
Journal of Finance
, vol.57
, pp. 405-443
-
-
Duffee, G.1
-
90
-
-
0038693107
-
Special Repo Rates
-
Duffie, D. (1996). Special Repo Rates. Journal of Finance 51, 493-526.
-
(1996)
Journal of Finance
, vol.51
, pp. 493-526
-
-
Duffie, D.1
-
91
-
-
0347787527
-
Defaultable Term Structure Models with Fractional Recovery of Par
-
Working Paper, Graduate School of Business, Stanford University
-
Duffie, D. (1998a). Defaultable Term Structure Models with Fractional Recovery of Par. Working Paper, Graduate School of Business, Stanford University.
-
(1998)
-
-
Duffie, D.1
-
92
-
-
0005932038
-
First-to-Default Valuation
-
Working Paper, Graduate School of Business, Stanford University
-
Duffie, D. (1998b). First-to-Default Valuation. Working Paper, Graduate School of Business, Stanford University.
-
(1998)
-
-
Duffie, D.1
-
93
-
-
0345779079
-
Risk and Valuation of Collateralized Debt Obligations
-
Duffie, D., and N. Gârleanu (2001). Risk and Valuation of Collateralized Debt Obligations. Financial Analysts Journal 57, 41-62.
-
(2001)
Financial Analysts Journal
, vol.57
, pp. 41-62
-
-
Duffie, D.1
Gârleanu, N.2
-
94
-
-
0040799595
-
Swap Rates and Credit Quality
-
Duffie, D., and M. Huang (1996). Swap Rates and Credit Quality. Journal of Finance 51, 921-950.
-
(1996)
Journal of Finance
, vol.51
, pp. 921-950
-
-
Duffie, D.1
Huang, M.2
-
95
-
-
0030305091
-
A Yield Factor Model of Interest Rates
-
Duffie, D., and R. Kan (1996). A Yield Factor Model of Interest Rates. Mathematical Finance 6, 379-406.
-
(1996)
Mathematical Finance
, vol.6
, pp. 379-406
-
-
Duffie, D.1
Kan, R.2
-
96
-
-
0034986069
-
Term Structures of Credit Spreads with Incomplete Accounting Information
-
Duffie, D., and D. Lando (2001). Term Structures of Credit Spreads with Incomplete Accounting Information. Econometrica 69, 633-664.
-
(2001)
Econometrica
, vol.69
, pp. 633-664
-
-
Duffie, D.1
Lando, D.2
-
98
-
-
0001324512
-
Analytical Value-at-Risk with Jumps and Credit Risk
-
Duffie, D., and J. Pan (2001). Analytical Value-at-Risk with Jumps and Credit Risk. Finance and Stochastics 5, 155-180.
-
(2001)
Finance and Stochastics
, vol.5
, pp. 155-180
-
-
Duffie, D.1
Pan, J.2
-
99
-
-
0006069985
-
An Econometric Model of the Term Structure of Interest Rate Swap Yields
-
Duffie, D., and K. Singleton (1997). An Econometric Model of the Term Structure of Interest Rate Swap Yields. Journal of Finance 52, 1287-1321.
-
(1997)
Journal of Finance
, vol.52
, pp. 1287-1321
-
-
Duffie, D.1
Singleton, K.2
-
100
-
-
0005971016
-
Simulating Correlated Defaults
-
Working Paper, Graduate School of Business, Stanford University
-
Duffie, D. (1998). Simulating Correlated Defaults. Working Paper, Graduate School of Business, Stanford University.
-
(1998)
-
-
Duffie, D.1
-
101
-
-
0033416234
-
Modeling Term Structures of Defaultable Bonds
-
Duffie, D. (1999). Modeling Term Structures of Defaultable Bonds. Review of Financial Studies 12, 687-720.
-
(1999)
Review of Financial Studies
, vol.12
, pp. 687-720
-
-
-
102
-
-
0030375631
-
Recursive Valuation of Defaultable Securities and the Timing of Resolution of Uncertainty
-
Duffie, D., M. Schroder, and C. Skiadas (1996). Recursive Valuation of Defaultable Securities and the Timing of Resolution of Uncertainty. Annals of Applied Probability 6, 1075-1090.
-
(1996)
Annals of Applied Probability
, vol.6
, pp. 1075-1090
-
-
Duffie, D.1
Schroder, M.2
Skiadas, C.3
-
103
-
-
0001668150
-
Transform Analysis and Asset Pricing for Affine Jump Diffusions
-
Duffie, D., J. Pan, and K. Singleton (2000). Transform Analysis and Asset Pricing for Affine Jump Diffusions. Econometrica 68, 1343-1376.
-
(2000)
Econometrica
, vol.68
, pp. 1343-1376
-
-
Duffie, D.1
Pan, J.2
Singleton, K.3
-
104
-
-
0004204254
-
Affine Processes and Applications in Finance
-
Working Paper, Stanford University, forthcoming, Annals of Applied Probability
-
Duffie, D., D. Filipoviç, and W. Schachermayer (2003a). Affine Processes and Applications in Finance.Working Paper, Stanford University, forthcoming, Annals of Applied Probability.
-
(2003)
-
-
Duffie, D.1
Filipoviç, D.2
Schachermayer, W.3
-
105
-
-
0013065959
-
Modeling Sovereign Yield Spreads: A Case Study of Russian Debt
-
Duffie, D., L. Pedersen, and K. Singleton (2003b). Modeling Sovereign Yield Spreads: A Case Study of Russian Debt. Journal of Finance 58.
-
(2003)
Journal of Finance
, vol.58
-
-
Duffie, D.1
Pedersen, L.2
Singleton, K.3
-
106
-
-
0010590729
-
Long Forward and Zero-Coupon Rates Can Never Fall
-
Dybvig, P., J. Ingersoll, and S. Ross (1996). Long Forward and Zero-Coupon Rates Can Never Fall. Journal of Business 69, 1-25.
-
(1996)
Journal of Business
, vol.69
, pp. 1-25
-
-
Dybvig, P.1
Ingersoll, J.2
Ross, S.3
-
107
-
-
84959777265
-
Debt with Potential Repudiation: Theoretical and Empirical Analysis
-
Eaton, J., and M. Gersovitz (1981). Debt with Potential Repudiation: Theoretical and Empirical Analysis. Review of Economic Studies 48, 289-309.
-
(1981)
Review of Economic Studies
, vol.48
, pp. 289-309
-
-
Eaton, J.1
Gersovitz, M.2
-
108
-
-
84883940084
-
Is a Convertible Bond Call Really Bad News?
-
Working Paper, University of Oklahoma
-
Ederington, L., and J. Goh (2000). Is a Convertible Bond Call Really Bad News? Working Paper, University of Oklahoma.
-
(2000)
-
-
Ederington, L.1
Goh, J.2
-
109
-
-
0039725567
-
The Bond Rating Process
-
In E. I. Altman (Ed.), Handbook of Financial Markets and Institutions, Chapter 23, New York: Wiley
-
Ederington, L., and J. Yawitz (1987). The Bond Rating Process. In E. I. Altman (Ed.), Handbook of Financial Markets and Institutions, Chapter 23, pp. 3-57. New York: Wiley.
-
(1987)
, pp. 3-57
-
-
Ederington, L.1
Yawitz, J.2
-
110
-
-
0031475482
-
To Call or Not to Call Convertible Debt
-
Spring
-
Ederington, L., G. Caton, and C. Campbell (1997). To Call or Not to Call Convertible Debt. Financial Management 26, Spring, 22-31.
-
(1997)
Financial Management
, vol.26
, pp. 22-31
-
-
Ederington, L.1
Caton, G.2
Campbell, C.3
-
111
-
-
0003510131
-
Would Collective Action Clauses Raise Borrowing Costs?
-
NBER Working Paper No. 7458
-
Eichengreen, B., and A. Mody (2000). Would Collective Action Clauses Raise Borrowing Costs? NBER Working Paper No. 7458.
-
(2000)
-
-
Eichengreen, B.1
Mody, A.2
-
112
-
-
53349155297
-
Connectivity and Financial Network Shutdown
-
Working Paper, The Santa Fe Institute
-
Eisenberg, L. (1995). Connectivity and Financial Network Shutdown. Working Paper, The Santa Fe Institute.
-
(1995)
-
-
Eisenberg, L.1
-
113
-
-
84884093590
-
Clearing Systems and the Transmission of Systemic Risk
-
Working Paper, The Risk Engineering Company, and the School of Business, Tulane University
-
Eisenberg, L., and T. Noe (1999). Clearing Systems and the Transmission of Systemic Risk. Working Paper, The Risk Engineering Company, and the School of Business, Tulane University.
-
(1999)
-
-
Eisenberg, L.1
Noe, T.2
-
114
-
-
0040885646
-
Explaining the Rate Spread on Corporate Bonds
-
Elton, E., M. Gruber, D. Agrawal, and C. Mann (2001). Explaining the Rate Spread on Corporate Bonds. The Journal of Finance 56, 247-277.
-
(2001)
The Journal of Finance
, vol.56
, pp. 247-277
-
-
Elton, E.1
Gruber, M.2
Agrawal, D.3
Mann, C.4
-
115
-
-
0345777476
-
Structural Models of Corporate Bond Pricing: An Empirical Analysis
-
Working Paper, College of Business and Economics, Yonsei University, Seoul, Korea
-
Eom, Y., J. Helwege, and J.-Z. Huang (2002). Structural Models of Corporate Bond Pricing: An Empirical Analysis. Working Paper, College of Business and Economics, Yonsei University, Seoul, Korea.
-
(2002)
-
-
Eom, Y.1
Helwege, J.2
Huang, J.-Z.3
-
116
-
-
0041480315
-
Taylor, Black, and Scholes: Series Approximations and Risk Management Pitfalls
-
Working Paper, Federal Reserve Bank of New York
-
Estrella, A. (1994). Taylor, Black, and Scholes: Series Approximations and Risk Management Pitfalls.Working Paper, Federal Reserve Bank of New York.
-
(1994)
-
-
Estrella, A.1
-
117
-
-
0042332844
-
The Price Risk of Options Positions: Measurement and Capital Requirements
-
Estrella, A., D. Hendricks, J. Kambhu, S. Shin, and S. Walter (1994). The Price Risk of Options Positions: Measurement and Capital Requirements. Federal Reserve Bank of New York Quarterly Review, Summer-Fall, 27-43.
-
(1994)
Federal Reserve Bank of New York Quarterly Review, Summer-Fall
, pp. 27-43
-
-
Estrella, A.1
Hendricks, D.2
Kambhu, J.3
Shin, S.4
Walter, S.5
-
118
-
-
0003492844
-
Markov Processes: Characterization and Convergence
-
New York: Wiley
-
Ethier, S., and T. Kurtz (1986). Markov Processes: Characterization and Convergence. New York: Wiley.
-
(1986)
-
-
Ethier, S.1
Kurtz, T.2
-
119
-
-
0001277826
-
Two Singular Diffusion Problems
-
Feller, W. (1951). Two Singular Diffusion Problems. Annals of Mathematics 54, 173-182.
-
(1951)
Annals of Mathematics
, vol.54
, pp. 173-182
-
-
Feller, W.1
-
120
-
-
6944238909
-
A Comparison of Stochastic Default Rate Models
-
Working Paper, Working Paper 00-02, Riskmetrics Group
-
Finger, C. (2000). A Comparison of Stochastic Default Rate Models. Working Paper, Working Paper 00-02, Riskmetrics Group.
-
(2000)
-
-
Finger, C.1
-
121
-
-
84977723030
-
Dynamic Capital Structure Choice: Theory and Tests
-
Fischer, E., R. Heinkel, and J. Zechner (1989). Dynamic Capital Structure Choice: Theory and Tests. Journal of Finance 44, 19-40.
-
(1989)
Journal of Finance
, vol.44
, pp. 19-40
-
-
Fischer, E.1
Heinkel, R.2
Zechner, J.3
-
122
-
-
0038466761
-
Fitting the Term Structure of Interest Rates with Smoothing Splines
-
Working Paper, Board of Governors of the Federal Reserve Board, Washington, D.C.
-
Fisher, M., D. Nychka, and D. Zervos (1994). Fitting the Term Structure of Interest Rates with Smoothing Splines. Working Paper, Board of Governors of the Federal Reserve Board, Washington, D.C.
-
(1994)
-
-
Fisher, M.1
Nychka, D.2
Zervos, D.3
-
123
-
-
32944468842
-
An Approach to Forecasting Default Rates
-
Working Paper, Moody's Investors Services
-
Fons, J. (1991). An Approach to Forecasting Default Rates. Working Paper, Moody's Investors Services.
-
(1991)
-
-
Fons, J.1
-
124
-
-
0003048864
-
Using Default Rates to Model the Term Structure of Credit Risk
-
September-October
-
Fons, J. (1994). Using Default Rates to Model the Term Structure of Credit Risk. Financial Analysts Journal 3, September-October, 25-32.
-
(1994)
Financial Analysts Journal
, vol.3
, pp. 25-32
-
-
Fons, J.1
-
125
-
-
84884121966
-
Business Cycles, Indicators, and Forecasting- Does the Paper-Bill Spread Predict Real Economic Activity?
-
Chicago: University of Chicago Press
-
Friedman, B., and K. Kuttner (1993). Business Cycles, Indicators, and Forecasting- Does the Paper-Bill Spread Predict Real Economic Activity? Chicago: University of Chicago Press.
-
(1993)
-
-
Friedman, B.1
Kuttner, K.2
-
126
-
-
84993843447
-
Risk Management: Coordinating Corporate Investment and Financing Policies
-
Froot, K., D. Scharfstein, and J. Stein (1993). Risk Management: Coordinating Corporate Investment and Financing Policies. The Journal of Finance 48, 1629-1658.
-
(1993)
The Journal of Finance
, vol.48
, pp. 1629-1658
-
-
Froot, K.1
Scharfstein, D.2
Stein, J.3
-
127
-
-
84977331862
-
Pricing ofWarrants and the Value of the Firm
-
Galai, D., and M. Schneller (1978). Pricing ofWarrants and the Value of the Firm. Journal of Finance 33, 1333-1342.
-
(1978)
Journal of Finance
, vol.33
, pp. 1333-1342
-
-
Galai, D.1
Schneller, M.2
-
128
-
-
84883942841
-
Adverse Selection and Re-Trade
-
Working Paper, Graduate School of Business, Stanford University
-
Gârleanu, N., and L. Pedersen (2001). Adverse Selection and Re-Trade. Working Paper, Graduate School of Business, Stanford University.
-
(2001)
-
-
Gârleanu, N.1
Pedersen, L.2
-
129
-
-
0002372307
-
Improving on VaR
-
May
-
Garman, M. (1996). Improving on VaR. RISK 9, May, 61-63.
-
(1996)
RISK
, vol.9
, pp. 61-63
-
-
Garman, M.1
-
130
-
-
84974489263
-
The Valuation of Corporate Liabilities as Compound Options
-
Geske, R. (1977). The Valuation of Corporate Liabilities as Compound Options. Journal of Financial and Quantitative Analysis 12, 541-552.
-
(1977)
Journal of Financial and Quantitative Analysis
, vol.12
, pp. 541-552
-
-
Geske, R.1
-
131
-
-
7044270860
-
A Model of Sovereign Borrowing and Sovereign Yield Spreads
-
Working Paper, Graduate School of Business, Columbia University
-
Gibson, R., and S. M. Sundaresan (1999). A Model of Sovereign Borrowing and Sovereign Yield Spreads. Working Paper, Graduate School of Business, Columbia University.
-
(1999)
-
-
Gibson, R.1
Sundaresan, S.M.2
-
132
-
-
0003802821
-
Historical Default Rates of Corporate Bond Issuers, 1920-1997
-
Global Credit Research, Working Paper, Moody's Investor Services
-
Global Credit Research (1998). Historical Default Rates of Corporate Bond Issuers, 1920-1997. Working Paper, Moody's Investor Services.
-
(1998)
-
-
-
133
-
-
84883958525
-
Moody's Approach to Rating Multisector CDO's
-
Working Paper, Moody's Investor Services
-
Gluck, J., and H. Remeza (2000). Moody's Approach to Rating Multisector CDO's. Working Paper, Moody's Investor Services.
-
(2000)
-
-
Gluck, J.1
Remeza, H.2
-
134
-
-
79952097756
-
Valuing Convertible Bonds as Derivatives
-
Working Paper, Quantitative Strategies Notes, Goldman Sachs
-
Goldman Sachs (1994). Valuing Convertible Bonds as Derivatives. Working Paper, Quantitative Strategies Notes, Goldman Sachs.
-
(1994)
-
-
Sachs, G.1
-
135
-
-
0000847864
-
A Comparative Anatomy of Credit Risk Models
-
Gordy, M. (2000). A Comparative Anatomy of Credit Risk Models. Journal of Bankingand Finance 24, 119-149.
-
(2000)
Journal of Bankingand Finance
, vol.24
, pp. 119-149
-
-
Gordy, M.1
-
136
-
-
0003888805
-
A Risk-Factor Model Foundation for Ratings-Based Bank Capital Rules
-
Working Paper, Board of Governors of the Federal Reserve System, Washington, D.C.
-
Gordy, M. (2001). A Risk-Factor Model Foundation for Ratings-Based Bank Capital Rules. Working Paper, Board of Governors of the Federal Reserve System, Washington, D.C.
-
(2001)
-
-
Gordy, M.1
-
137
-
-
0005584504
-
The Relative Pricing of Eurodollar Futures and Forward Contracts
-
Grinblatt, M., and N. Jegadeesh (1996). The Relative Pricing of Eurodollar Futures and Forward Contracts. Journal of Finance 51, 1499-1522.
-
(1996)
Journal of Finance
, vol.51
, pp. 1499-1522
-
-
Grinblatt, M.1
Jegadeesh, N.2
-
138
-
-
4644266612
-
LossCalc: Moody's Model for Predicting Loss Given Default (LGD)
-
Working Paper, Moody's Investors Services, Global Credit Research, New York
-
Gupton, G., and R. Stein (2002). LossCalc: Moody's Model for Predicting Loss Given Default (LGD). Working Paper, Moody's Investors Services, Global Credit Research, New York.
-
(2002)
-
-
Gupton, G.1
Stein, R.2
-
139
-
-
38649141305
-
Martingales and Arbitrage in Multiperiod Securities Markets
-
Harrison, M., and D. Kreps (1979). Martingales and Arbitrage in Multiperiod Securities Markets. Journal of Economic Theory 20, 381-408.
-
(1979)
Journal of Economic Theory
, vol.20
, pp. 381-408
-
-
Harrison, M.1
Kreps, D.2
-
140
-
-
84977413592
-
The Insignificance of Bankruptcy Costs to the Theory of Capital Structure
-
Haugen, D., and L. Senbet (1978). The Insignificance of Bankruptcy Costs to the Theory of Capital Structure. Journal of Finance 33, 383-393.
-
(1978)
Journal of Finance
, vol.33
, pp. 383-393
-
-
Haugen, D.1
Senbet, L.2
-
141
-
-
0042711928
-
Credit Spread Curves and Credit Ratings
-
Working Paper, Chinese University of Hong Kong
-
He, J.,W. Hu, and L. Lang (2000). Credit Spread Curves and Credit Ratings. Working Paper, Chinese University of Hong Kong.
-
(2000)
-
-
He, J.1
Hu, W.2
Lang, L.3
-
142
-
-
0002674207
-
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
-
Heath, D., R. Jarrow, and A. Morton (1992). Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation. Econometrica 60, 77-106.
-
(1992)
Econometrica
, vol.60
, pp. 77-106
-
-
Heath, D.1
Jarrow, R.2
Morton, A.3
-
143
-
-
84883986833
-
Safe Settlement
-
February
-
Heldring, O. (1997). Safe Settlement. RISK , February, 22-27.
-
(1997)
RISK
, pp. 22-27
-
-
Heldring, O.1
-
144
-
-
0039520045
-
The Slope of the Credit Yield Curve for Speculative-Grade Issuers
-
Helwege, J., and C. Turner (1999). The Slope of the Credit Yield Curve for Speculative-Grade Issuers. Journal of Finance 54, 1869-1884.
-
(1999)
Journal of Finance
, vol.54
, pp. 1869-1884
-
-
Helwege, J.1
Turner, C.2
-
145
-
-
0037836721
-
A Closed-Form Solution for Options with Stochastic Volatility, with Applications to Bond and Currency Options
-
Heston, S. (1993). A Closed-Form Solution for Options with Stochastic Volatility, with Applications to Bond and Currency Options. Review of Financial Studies 6, 327-344.
-
(1993)
Review of Financial Studies
, vol.6
, pp. 327-344
-
-
Heston, S.1
-
146
-
-
84883934682
-
Optimal Capital Structure and Endogenous Default
-
Working Paper, University of Bath
-
Hilberink, B., and C. Rogers (2001). Optimal Capital Structure and Endogenous Default. Working Paper, University of Bath.
-
(2001)
-
-
Hilberink, B.1
Rogers, C.2
-
147
-
-
0009894603
-
How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk?: Results from a New Calibration Approach
-
Working Paper, Graduate School of Business, Stanford University
-
Huang, J., and M. Huang (2000). How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk?: Results from a New Calibration Approach. Working Paper, Graduate School of Business, Stanford University.
-
(2000)
-
-
Huang, J.1
Huang, M.2
-
148
-
-
1842607900
-
Swap Pricing with Two-Sided Default Risk in a Rating-Based Model
-
Huge, B., and D. Lando (1999). Swap Pricing with Two-Sided Default Risk in a Rating-Based Model. European Finance Review 3, 239-268.
-
(1999)
European Finance Review
, vol.3
, pp. 239-268
-
-
Huge, B.1
Lando, D.2
-
149
-
-
0000167010
-
The Impact of Default Risk on the Prices of Options and Other Derivative Securities
-
Hull, J., and A. White (1995). The Impact of Default Risk on the Prices of Options and Other Derivative Securities. Journal of Bankingand Finance 19, 299-322.
-
(1995)
Journal of Bankingand Finance
, vol.19
, pp. 299-322
-
-
Hull, J.1
White, A.2
-
150
-
-
84884008440
-
Measuring Loss on Latin American Defaulted Bank Loans
-
Working Paper, Citibank Global Strategies
-
Hurt, L., and A. Felsovalyi (1998). Measuring Loss on Latin American Defaulted Bank Loans. Working Paper, Citibank Global Strategies.
-
(1998)
-
-
Hurt, L.1
Felsovalyi, A.2
-
151
-
-
84884121907
-
An Examination of Corporate Call Policies on Convertible Securities
-
Ingersoll, J. (1977). An Examination of Corporate Call Policies on Convertible Securities. The Journal of Financial Economics 5, 289-322.
-
(1977)
The Journal of Financial Economics
, vol.5
, pp. 289-322
-
-
Ingersoll, J.1
-
152
-
-
0003110004
-
Limited Liability and Incentive Contracting with Ex-Ante Choices
-
Innes, R. (1990). Limited Liability and Incentive Contracting with Ex-Ante Choices. The Journal of Economic Theory 52, 45-67.
-
(1990)
The Journal of Economic Theory
, vol.52
, pp. 45-67
-
-
Innes, R.1
-
153
-
-
84883902792
-
Involving the Private Sector in the Resolution of Financial Crises
-
International Monetary Fund
-
International Monetary Fund (2001). Involving the Private Sector in the Resolution of Financial Crises. International Monetary Fund.
-
(2001)
International Monetary Fund
-
-
-
154
-
-
0035592363
-
Finding Generators for Markov Chains via Empirical Transition Matrices
-
Israel, R., J. Rosenthal, and J. Wei (2001). Finding Generators for Markov Chains via Empirical Transition Matrices. Mathematical Finance 11, 245-265.
-
(2001)
Mathematical Finance
, vol.11
, pp. 245-265
-
-
Israel, R.1
Rosenthal, J.2
Wei, J.3
-
155
-
-
84883909207
-
The New Basel Accord
-
Jackson, P., and A. Emblow (2001). The New Basel Accord. Derivatives Use, Trading, and Regulation 7, 118-126.
-
(2001)
Derivatives Use, Trading, and Regulation
, vol.7
, pp. 118-126
-
-
Jackson, P.1
Emblow, A.2
-
156
-
-
84993907181
-
Pricing Options on Financial Securities Subject to Default Risk
-
Jarrow, R., and S. Turnbull (1995). Pricing Options on Financial Securities Subject to Default Risk. Journal of Finance 50, 53-86.
-
(1995)
Journal of Finance
, vol.50
, pp. 53-86
-
-
Jarrow, R.1
Turnbull, S.2
-
157
-
-
0040150379
-
When Swaps Are Dropped
-
10, May
-
Jarrow, R. (1997). When Swaps Are Dropped. RISK 10, May, 70-75.
-
(1997)
RISK
, pp. 70-75
-
-
Jarrow, R.1
-
158
-
-
0031514515
-
A Markov Model for the Term Structure of Credit Risk Spreads
-
Jarrow, R., D. Lando, and S. Turnbull (1997). A Markov Model for the Term Structure of Credit Risk Spreads. Review of Financial Studies 10, 481-523.
-
(1997)
Review of Financial Studies
, vol.10
, pp. 481-523
-
-
Jarrow, R.1
Lando, D.2
Turnbull, S.3
-
159
-
-
0141617252
-
Default Risk and Diversification: Theory and Applications
-
Working Paper, Cornell University
-
Jarrow, R. A., D. Lando, and F. Yu (2000). Default Risk and Diversification: Theory and Applications. Working Paper, Cornell University.
-
(2000)
-
-
Jarrow, R.A.1
Lando, D.2
Yu, F.3
-
160
-
-
0000545178
-
TermStructures of Corporate Bond Yields as a Function of Risk of Default
-
Johnson, R. (1967). TermStructures of Corporate Bond Yields as a Function of Risk of Default. The Journal of Finance 22, 313-345.
-
(1967)
The Journal of Finance
, vol.22
, pp. 313-345
-
-
Johnson, R.1
-
161
-
-
84887676364
-
Contingent Claims Analysis of Corporate Capital Structures: An Empirical Investigation
-
Jones, E., S. Mason, and E. Rosenfeld (1984). Contingent Claims Analysis of Corporate Capital Structures: An Empirical Investigation. The Journal of Finance 39, 611-625.
-
(1984)
The Journal of Finance
, vol.39
, pp. 611-625
-
-
Jones, E.1
Mason, S.2
Rosenfeld, E.3
-
162
-
-
0043069647
-
Forecasting Default Rates on High-Yield Bonds
-
June
-
Jonsson, J., and M. Fridson (1996). Forecasting Default Rates on High-Yield Bonds. The Journal of Fixed Income, June, 69-77.
-
(1996)
The Journal of Fixed Income
, pp. 69-77
-
-
Jonsson, J.1
Fridson, M.2
-
163
-
-
0003886493
-
CreditMetrics Technical Document
-
New York
-
J. P. Morgan (1997). CreditMetrics Technical Document, New York.
-
(1997)
-
-
Morgan, J.P.1
-
164
-
-
0003496954
-
The Statistical Analysis of Failure Time Data
-
New York: Wiley
-
Kalbfleisch, J., and R. Prentice (1980). The Statistical Analysis of Failure Time Data. New York: Wiley.
-
(1980)
-
-
Kalbfleisch, J.1
Prentice, R.2
-
165
-
-
0000018330
-
Statistical Models of Bond Ratings: A Methodological Inquiry
-
Kaplan, R., and G. Urwitz (1979). Statistical Models of Bond Ratings: A Methodological Inquiry. Journal of Business 52, 231-261.
-
(1979)
Journal of Business
, vol.52
, pp. 231-261
-
-
Kaplan, R.1
Urwitz, G.2
-
166
-
-
4243560160
-
Estimating Credit Rating Transition Probabilities for Corporate Bonds
-
Working Paper, University of Chicago
-
Kavvathas, D. (2001). Estimating Credit Rating Transition Probabilities for Corporate Bonds. Working Paper, University of Chicago.
-
(2001)
-
-
Kavvathas, D.1
-
168
-
-
29544447694
-
Estimating a Risky Term Structure of Brady Bonds
-
Working Paper, Lancaster University
-
Keswani, A. (2002). Estimating a Risky Term Structure of Brady Bonds. Working Paper, Lancaster University.
-
(2002)
-
-
Keswani, A.1
-
169
-
-
84884121922
-
The Structure of Credit Risk: Spread Volatility and Rating Transitions
-
Working Paper, London School of Economics
-
Kiesel, R., W. Perraudin, and A. Taylor (2000). The Structure of Credit Risk: Spread Volatility and Rating Transitions. Working Paper, London School of Economics.
-
(2000)
-
-
Kiesel, R.1
Perraudin, W.2
Taylor, A.3
-
170
-
-
0005776183
-
Does Default Risk in Coupons Affect the Valuation of Corporate Bonds? A Contingent Claims Model
-
Kim, J., K. Ramaswamy, and S. Sundaresan (1993). Does Default Risk in Coupons Affect the Valuation of Corporate Bonds? A Contingent Claims Model. Financial Management 22, 117-131.
-
(1993)
Financial Management
, vol.22
, pp. 117-131
-
-
Kim, J.1
Ramaswamy, K.2
Sundaresan, S.3
-
173
-
-
54649084049
-
Cox Processes and Credit-Risky Securities
-
Lando, D. (1998). Cox Processes and Credit-Risky Securities. Review of Derivatives Research 2, 99-120.
-
(1998)
Review of Derivatives Research
, vol.2
, pp. 99-120
-
-
Lando, D.1
-
174
-
-
25144488429
-
Analyzing Rating Transitions and Rating Drift with Continuous Observations
-
Working Paper, Department of Statistics, University of Copenhagen
-
Lando, D., and T. Skødeberg (2000). Analyzing Rating Transitions and Rating Drift with Continuous Observations. Working Paper, Department of Statistics, University of Copenhagen.
-
(2000)
-
-
Lando, D.1
Skødeberg, T.2
-
175
-
-
0001873357
-
A Multivariate Model of the Term Structure
-
Langetieg, T. (1980). A Multivariate Model of the Term Structure. Journal of Finance 35, 71-97.
-
(1980)
Journal of Finance
, vol.35
, pp. 71-97
-
-
Langetieg, T.1
-
176
-
-
0346937277
-
Design and Estimation of Quadratic Term Structure Models
-
Working Paper, Fordham University, New York
-
Leippold, M., and L. Wu (2001). Design and Estimation of Quadratic Term Structure Models. Working Paper, Fordham University, New York.
-
(2001)
-
-
Leippold, M.1
Wu, L.2
-
177
-
-
84993608428
-
Corporate Debt Value, Bond Covenants, and Optimal Capital Structure
-
Leland, H. (1994). Corporate Debt Value, Bond Covenants, and Optimal Capital Structure. Journal of Finance 49, 1213-1252.
-
(1994)
Journal of Finance
, vol.49
, pp. 1213-1252
-
-
Leland, H.1
-
178
-
-
0000140435
-
Information Asymmetries, Financial Structure, and Financial Intermediaries
-
Leland, H., and D. Pyle (1977). Information Asymmetries, Financial Structure, and Financial Intermediaries. Journal of Finance 32, 371-387.
-
(1977)
Journal of Finance
, vol.32
, pp. 371-387
-
-
Leland, H.1
Pyle, D.2
-
179
-
-
0039021357
-
Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads
-
Leland, H., and K. Toft (1996). Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads. Journal of Finance 51, 987-1019.
-
(1996)
Journal of Finance
, vol.51
, pp. 987-1019
-
-
Leland, H.1
Toft, K.2
-
180
-
-
0001766574
-
Identifying Failing Companies: A Re-Evaluation of the Logit, Probit and DA Approaches
-
Lennox, C. (1999). Identifying Failing Companies: A Re-Evaluation of the Logit, Probit and DA Approaches. Journal of Economics and Business 51, 347-364.
-
(1999)
Journal of Economics and Business
, vol.51
, pp. 347-364
-
-
Lennox, C.1
-
181
-
-
0040369579
-
Pricing of Swaps with Default Risk
-
Working Paper, Yale University
-
Li, H. (1995). Pricing of Swaps with Default Risk. Working Paper, Yale University.
-
(1995)
-
-
Li, H.1
-
182
-
-
84883959049
-
A Model of Pricing Defaultable Bonds and Credit Ratings
-
Working Paper, John M. Olin School of Business, Washington University, St. Louis, Mo.
-
Li, H. (2000). A Model of Pricing Defaultable Bonds and Credit Ratings. Working Paper, John M. Olin School of Business, Washington University, St. Louis, Mo.
-
(2000)
-
-
Li, H.1
-
183
-
-
0001809040
-
Corporate Bond Valuation and the Term Structure of Credit Spreads
-
Spring
-
Litterman, R., and T. Iben (1991). Corporate Bond Valuation and the Term Structure of Credit Spreads. Journal of Portfolio Management, Spring, 52-64.
-
(1991)
Journal of Portfolio Management
, pp. 52-64
-
-
Litterman, R.1
Iben, T.2
-
184
-
-
0041418870
-
Estimating Covariance Matrices
-
Working Paper, Goldman Sachs, Risk Management Series
-
Litterman, R., and K.Winkelmann (1998). Estimating Covariance Matrices. Working Paper, Goldman Sachs, Risk Management Series.
-
(1998)
-
-
Litterman, R.1
Winkelmann, K.2
-
185
-
-
84977702043
-
Swaps: Plain and Fanciful
-
Litzenberger, R. (1992). Swaps: Plain and Fanciful. The Journal of Finance 47, 831-850.
-
(1992)
The Journal of Finance
, vol.47
, pp. 831-850
-
-
Litzenberger, R.1
-
186
-
-
38249043632
-
Logit versus Discriminant Analysis: A Specification Test and Application to Corporate Bankruptcies
-
Lo, A. (1986). Logit versus Discriminant Analysis: A Specification Test and Application to Corporate Bankruptcies. Journal of Econometrics 31, 151-178.
-
(1986)
Journal of Econometrics
, vol.31
, pp. 151-178
-
-
Lo, A.1
-
188
-
-
84884068603
-
Evaluating Credit Risk Models
-
Working Paper, Economic Research Department, Federal Reserve Bank of San Francisco
-
Lopez, J., and M. Saidenberg (1999). Evaluating Credit Risk Models. Working Paper, Economic Research Department, Federal Reserve Bank of San Francisco.
-
(1999)
-
-
Lopez, J.1
Saidenberg, M.2
-
189
-
-
0003832227
-
When Genius Failed
-
New York: Fourth Estate. Lucas, D., and J. Lonski (1992). Changes in Corporate Credit Quality 1970-1990. Journal of Fixed Income, Issue
-
Lowenstein, R. (2000). When Genius Failed. New York: Fourth Estate. Lucas, D., and J. Lonski (1992). Changes in Corporate Credit Quality 1970-1990. Journal of Fixed Income 1, Issue 2, 7-14.
-
(2000)
, vol.1
, pp. 7-14
-
-
Lowenstein, R.1
-
190
-
-
4344630780
-
An Empirical Examination of the Classical Theory of Corporate Security Valuation
-
Working Paper, Advanced Strategies & Research Group, Barclays Global Investors
-
Lyden, S., and D. Sariniti (2000). An Empirical Examination of the Classical Theory of Corporate Security Valuation. Working Paper, Advanced Strategies & Research Group, Barclays Global Investors.
-
(2000)
-
-
Lyden, S.1
Sariniti, D.2
-
192
-
-
84883932649
-
The Swaps Market-2nd edition
-
Miami: Kolb Publishing Co.
-
Marshall, J. (1993). The Swaps Market-2nd edition. Miami: Kolb Publishing Co.
-
(1993)
-
-
Marshall, J.1
-
193
-
-
0003876453
-
Bailing-In
-
Working Paper, University of California, Berkeley
-
McBrady, M., and M. Seasholes (2000). Bailing-In. Working Paper, University of California, Berkeley.
-
(2000)
-
-
McBrady, M.1
Seasholes, M.2
-
194
-
-
0040514846
-
The Default Risk of High-Yield Bonds
-
Working Paper, Louisiana State University
-
McDonald, C., and L. Van de Gucht (1996). The Default Risk of High-Yield Bonds. Working Paper, Louisiana State University.
-
(1996)
-
-
McDonald, C.1
Van De Gucht, L.2
-
195
-
-
0033422956
-
Dynamics of Default and Debt Reorganization
-
Mella-Barral, P. (1999). Dynamics of Default and Debt Reorganization. Review of Financial Studies 12, 535-578.
-
(1999)
Review of Financial Studies
, vol.12
, pp. 535-578
-
-
Mella-barral, P.1
-
196
-
-
0038211191
-
Crisis Dynamics of Implied Default Recovery Ratios: Evidence from Russia and Argentina
-
Working Paper, Stern School of Business, New York University
-
Merrick, J. J. (1999). Crisis Dynamics of Implied Default Recovery Ratios: Evidence from Russia and Argentina. Working Paper, Stern School of Business, New York University.
-
(1999)
-
-
Merrick, J.J.1
-
197
-
-
0000808665
-
On the Pricing of Corporate Debt: The Risk Structure of Interest Rates
-
Merton, R. (1974). On the Pricing of Corporate Debt: The Risk Structure of Interest Rates. The Journal of Finance 29, 449-470.
-
(1974)
The Journal of Finance
, vol.29
, pp. 449-470
-
-
Merton, R.1
-
199
-
-
0002252487
-
An Arbitrage Theory of the TermStructure of Interest Rates
-
Miltersen, K. (1994). An Arbitrage Theory of the TermStructure of Interest Rates. Annals of Applied Probability 4, 953-967.
-
(1994)
Annals of Applied Probability
, vol.4
, pp. 953-967
-
-
Miltersen, K.1
-
200
-
-
0040360988
-
Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates
-
Miltersen, K., K. Sandmann, and D. Sondermann (1997). Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates. Journal of Finance 52, 409-430.
-
(1997)
Journal of Finance
, vol.52
, pp. 409-430
-
-
Miltersen, K.1
Sandmann, K.2
Sondermann, D.3
-
201
-
-
0000294096
-
The Cost of Capital, Corporation Finance, and the Theory of Investment
-
Modigliani, F., and M. Miller (1958). The Cost of Capital, Corporation Finance, and the Theory of Investment. American Economic Review 48, 261-297.
-
(1958)
American Economic Review
, vol.48
, pp. 261-297
-
-
Modigliani, F.1
Miller, M.2
-
202
-
-
84883978888
-
Structured Finance Research and Commentary- Special Comment: A Framework for the Analysis of the Default Risk of Securitized Assets
-
Moody's Investors Service, Working Paper, Moody's Investors Service
-
Moody's Investors Service (1993). Structured Finance Research and Commentary- Special Comment: A Framework for the Analysis of the Default Risk of Securitized Assets. Working Paper, Moody's Investors Service.
-
(1993)
-
-
-
203
-
-
84884018952
-
The Status of Swap Agreements under the U.S. Bankruptcy Code
-
Working Paper, Moody's Investors Service
-
Modigliani, F. (1994). The Status of Swap Agreements under the U.S. Bankruptcy Code. Working Paper, Moody's Investors Service.
-
(1994)
-
-
Modigliani, F.1
-
204
-
-
48549110620
-
Corporate Financing and Investment When Firms Have Information Shareholders Do Not Have
-
Myers, S., and N. Majluf (1984). Corporate Financing and Investment When Firms Have Information Shareholders Do Not Have. Journal of Financial Economics 13, 187-221.
-
(1984)
Journal of Financial Economics
, vol.13
, pp. 187-221
-
-
Myers, S.1
Majluf, N.2
-
205
-
-
0043142737
-
Gaussian Term Structure Model with Credit Rating Classes
-
Working Paper. Industrial Bank of Japan
-
Nakazato, D. (1997). Gaussian Term Structure Model with Credit Rating Classes. Working Paper. Industrial Bank of Japan.
-
(1997)
-
-
Nakazato, D.1
-
206
-
-
0011963641
-
Interest Rates and Credit Spreads
-
Working Paper, Kelley School of Business, Indiana University
-
Neal, R., D. Rolph, and C. Morris (2000). Interest Rates and Credit Spreads. Working Paper, Kelley School of Business, Indiana University.
-
(2000)
-
-
Neal, R.1
Rolph, D.2
Morris, C.3
-
208
-
-
0003515553
-
Default Risk and Interest Rate Risk: The Term Structure of Default Spreads
-
Working Paper, INSEAD, Fontainebleau, France
-
Nielsen, L. T., J. SaaRequejo, and P. Santa-Clara (1993). Default Risk and Interest Rate Risk: The Term Structure of Default Spreads. Working Paper, INSEAD, Fontainebleau, France.
-
(1993)
-
-
Nielsen, L.T.1
SaaRequejo, J.2
Santa-clara, P.3
-
209
-
-
0013528484
-
A Compensator Representation of Multivariate Life Length Distributions, with Applications
-
Norros, I. (1986). A Compensator Representation of Multivariate Life Length Distributions, with Applications. Scandinavian Journal of Statistics 13, 99-112.
-
(1986)
Scandinavian Journal of Statistics
, vol.13
, pp. 99-112
-
-
Norros, I.1
-
210
-
-
0013179634
-
The Use and Pricing of Convertible Bonds
-
Nyborg, K. (1996). The Use and Pricing of Convertible Bonds. Applied Mathematical Finance 3, 167-190.
-
(1996)
Applied Mathematical Finance
, vol.3
, pp. 167-190
-
-
Nyborg, K.1
-
211
-
-
0011639971
-
Determinants of the Relative Interest Rate Sensitivities of Corporate Bonds
-
Spring
-
Ogden, J. (1987). Determinants of the Relative Interest Rate Sensitivities of Corporate Bonds. Financial Management 16, Spring, 22-30.
-
(1987)
Financial Management
, vol.16
, pp. 22-30
-
-
Ogden, J.1
-
212
-
-
84883956945
-
The Value-at-Risk of a Portfolio of Currency Derivatives under Worst-Case Distributional Assumptions
-
Working Paper, Susquehanna Investment Group, Philadelphia, and Department of Mathematics, University of Virginia
-
Page, M., and D. Costas (1996). The Value-at-Risk of a Portfolio of Currency Derivatives under Worst-Case Distributional Assumptions. Working Paper, Susquehanna Investment Group, Philadelphia, and Department of Mathematics, University of Virginia.
-
(1996)
-
-
Page, M.1
Costas, D.2
-
213
-
-
10644286059
-
Can Liquidity Risk Be Subsumed in Credit Risk? A Case Study from Brady Bond Prices
-
Working Paper, Bank for International Settlements
-
Pagés, H. (2001). Can Liquidity Risk Be Subsumed in Credit Risk? A Case Study from Brady Bond Prices. Working Paper, Bank for International Settlements.
-
(2001)
-
-
Pagés, H.1
-
214
-
-
10644241710
-
The Jump-Risk Premia Implicit in Options: Evidence from an Integrated Time-Series Study
-
Pan, J. (2002). The Jump-Risk Premia Implicit in Options: Evidence from an Integrated Time-Series Study. Journal of Financial Economics 63, 3-50.
-
(2002)
Journal of Financial Economics
, vol.63
, pp. 3-50
-
-
Pan, J.1
-
215
-
-
84977704023
-
Original Issue High Yield Bonds: Aging Analysis of Defaults, Exchanges, and Calls
-
Paul, A., D. Mullins, and E. Wolff (1989). Original Issue High Yield Bonds: Aging Analysis of Defaults, Exchanges, and Calls. Journal of Finance 44, 923-952.
-
(1989)
Journal of Finance
, vol.44
, pp. 923-952
-
-
Paul, A.1
Mullins, D.2
Wolff, E.3
-
216
-
-
0039272905
-
An Empirical Examination of the Cox, Ingersoll, and Ross Model of the Term Structure of Interest Rates Using the Method of Maximum Likelihood
-
Pearson, N., and T.-S. Sun (1994). An Empirical Examination of the Cox, Ingersoll, and Ross Model of the Term Structure of Interest Rates Using the Method of Maximum Likelihood. Journal of Finance 49, 929-959.
-
(1994)
Journal of Finance
, vol.49
, pp. 929-959
-
-
Pearson, N.1
Sun, T.-S.2
-
217
-
-
0002841968
-
A New Approach to Maximum Likelihood Estimation for Stochastic Differential Equations Based on Discrete Observations
-
Pedersen, A. (1995). A New Approach to Maximum Likelihood Estimation for Stochastic Differential Equations Based on Discrete Observations. Scandinavian Journal of Statistics 22, 55-71.
-
(1995)
Scandinavian Journal of Statistics
, vol.22
, pp. 55-71
-
-
Pedersen, A.1
-
218
-
-
0038966364
-
Probability and Statistics Applied to the Practice of Financial Risk Management: The Case of J. P. Morgan's RiskMetrics
-
Working Paper, The Wharton Financial Institution Center, University of Pennsylvania
-
Phelan, M. J. (1995). Probability and Statistics Applied to the Practice of Financial Risk Management: The Case of J. P. Morgan's RiskMetrics. Working Paper, The Wharton Financial Institution Center, University of Pennsylvania.
-
(1995)
-
-
Phelan, M.J.1
-
219
-
-
0000543744
-
The Pricing of Corporate Debt: A Further Note
-
Pitts, C., and M. Selby (1983). The Pricing of Corporate Debt: A Further Note. The Journal of Finance 38, 1311-1313.
-
(1983)
The Journal of Finance
, vol.38
, pp. 1311-1313
-
-
Pitts, C.1
Selby, M.2
-
220
-
-
0003522826
-
Stochastic Integration and Differential Equations
-
New York: Springer-Verlag
-
Protter, P. (1990). Stochastic Integration and Differential Equations. New York: Springer-Verlag.
-
(1990)
-
-
Protter, P.1
-
221
-
-
0347112112
-
Synthetic CLOs and Their Role in Bank Balance Sheet Management
-
Working Paper, Deutsche Bank, Fixed Income Research
-
Punjabi, S., and J. Tierney (1999). Synthetic CLOs and Their Role in Bank Balance Sheet Management. Working Paper, Deutsche Bank, Fixed Income Research.
-
(1999)
-
-
Punjabi, S.1
Tierney, J.2
-
222
-
-
0013286913
-
Gauging the Default Premium
-
Pye, G. (1974). Gauging the Default Premium. Financial Analyst's Journal 30, 49-50.
-
(1974)
Financial Analyst's Journal
, vol.30
, pp. 49-50
-
-
Pye, G.1
-
223
-
-
0012329386
-
Boom and Bust and Sovereign Ratings
-
Working Paper, Technical Paper No. 148, OECD Development Centre
-
Reisen, H., and J. Maltzan (1999). Boom and Bust and Sovereign Ratings. Working Paper, Technical Paper No. 148, OECD Development Centre.
-
(1999)
-
-
Reisen, H.1
Maltzan, J.2
-
225
-
-
0000652195
-
Interbank Lending and Systemic Risk
-
Rochet, J.-C., and J. Tirole (1996). Interbank Lending and Systemic Risk. Journal of Money, Credit, and Banking 28, 733-762.
-
(1996)
Journal of Money, Credit, and Banking
, vol.28
, pp. 733-762
-
-
Rochet, J.-C.1
Tirole, J.2
-
226
-
-
0003672887
-
Bail-In, Burden-Sharing, Private Sector Involvement in Crisis Resolution and Constructive Engagement of the Private Sector
-
Working Paper, New York University
-
Roubini, N. (2000). Bail-In, Burden-Sharing, Private Sector Involvement in Crisis Resolution and Constructive Engagement of the Private Sector. Working Paper, New York University.
-
(2000)
-
-
Roubini, N.1
-
227
-
-
84883916126
-
Derivatives 101
-
Working Paper, Bankers Trust New York Corporation
-
Ruml, E. (1992). Derivatives 101. Working Paper, Bankers Trust New York Corporation.
-
(1992)
-
-
Ruml, E.1
-
228
-
-
84977708921
-
Some Empirical Estimates of the Risk Structure of Interest Rates
-
Sarig, O., and A.Warga (1989). Some Empirical Estimates of the Risk Structure of Interest Rates. The Journal of Finance 44, 1351-1360.
-
(1989)
The Journal of Finance
, vol.44
, pp. 1351-1360
-
-
Sarig, O.1
Warga, A.2
-
229
-
-
54649083313
-
Term Structure Modelling of Defaultable Bonds
-
Schönbucher, P. (1998). Term Structure Modelling of Defaultable Bonds. Review of Derivatives Research 2, 161-192.
-
(1998)
Review of Derivatives Research
, vol.2
, pp. 161-192
-
-
Schönbucher, P.1
-
230
-
-
5444250336
-
Copula-Dependent Default Risk in Intensity Models
-
Working Paper, Department of Statistics, Bonn University
-
Schönbucher, P., and D. Schubert (2001). Copula-Dependent Default Risk in Intensity Models. Working Paper, Department of Statistics, Bonn University.
-
(2001)
-
-
Schönbucher, P.1
Schubert, D.2
-
231
-
-
79960778732
-
Collateralized Debt Obligation Handbook
-
Working Paper, Morgan Stanley Dean Witter, Fixed Income Research
-
Schorin, C., and S.Weinreich (1998). Collateralized Debt Obligation Handbook. Working Paper, Morgan Stanley Dean Witter, Fixed Income Research.
-
(1998)
-
-
Schorin, C.1
Weinreich, S.2
-
232
-
-
3943054404
-
The Valuation of Interest Rate Derivatives in a Multi- Factor Cox-Ingersoll-Ross Model that Matches the Initial Term Structure
-
Working Paper, University of Georgia
-
Scott, L. (1996). The Valuation of Interest Rate Derivatives in a Multi- Factor Cox-Ingersoll-Ross Model that Matches the Initial Term Structure. Working Paper, University of Georgia.
-
(1996)
-
-
Scott, L.1
-
233
-
-
0031476682
-
Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Application of Fourier Inversion Methods
-
Scott, L. (1997). Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Application of Fourier Inversion Methods. Mathematical Finance 7, 345-358.
-
(1997)
Mathematical Finance
, vol.7
, pp. 345-358
-
-
Scott, L.1
-
235
-
-
84883966573
-
Multivariate Conditional Hazard Rate and Mean Residual Life Functions and Their Applications
-
In R. Barlow, C. Clarotti, and F. Spizzichtho (Eds.), Reliability and Decision Making , Chapter 7. London: Chapman and Hall
-
Shaked, M. (1993). Multivariate Conditional Hazard Rate and Mean Residual Life Functions and Their Applications. In R. Barlow, C. Clarotti, and F. Spizzichtho (Eds.), Reliability and Decision Making , Chapter 7. London: Chapman and Hall.
-
(1993)
-
-
Shaked, M.1
-
236
-
-
0010587913
-
Comovements of Low-Grade Debt and Equity Returns of Highly Leveraged Firms
-
Shane, H. (1994). Comovements of Low-Grade Debt and Equity Returns of Highly Leveraged Firms. Journal of Fixed Income 3, 79-89.
-
(1994)
Journal of Fixed Income
, vol.3
, pp. 79-89
-
-
Shane, H.1
-
237
-
-
84980092818
-
Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk
-
Sharpe, W. (1964). Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. Journal of Finance 19, 425-442.
-
(1964)
Journal of Finance
, vol.19
, pp. 425-442
-
-
Sharpe, W.1
-
238
-
-
0001450307
-
The Pricing of Risky Debt When Interest Rates Are Stochastic
-
Shimko, D., N. Tejima, and D. Van Deventer (1993). The Pricing of Risky Debt When Interest Rates Are Stochastic. Journal of Fixed Income 3, 58-65.
-
(1993)
Journal of Fixed Income
, vol.3
, pp. 58-65
-
-
Shimko, D.1
Tejima, N.2
Van Deventer, D.3
-
239
-
-
0008104389
-
Forecasting Bankruptcy More Accurately: A Simple Hazard Model
-
Shumway, T. (2001). Forecasting Bankruptcy More Accurately: A Simple Hazard Model. Journal of Business 74, 101-124.
-
(2001)
Journal of Business
, vol.74
, pp. 101-124
-
-
Shumway, T.1
-
240
-
-
0000807050
-
Estimation of Affine Asset Pricing Models Using the Empirical Characteristic Function
-
Singleton, K. (2001). Estimation of Affine Asset Pricing Models Using the Empirical Characteristic Function. Journal of Econometrics 102, 111-141.
-
(2001)
Journal of Econometrics
, vol.102
, pp. 111-141
-
-
Singleton, K.1
-
241
-
-
0036789694
-
Pricing Coupon-Bond Options and Swaptions in Affine Term Structure Models
-
Singleton, K., and L. Umantsev (2002). Pricing Coupon-Bond Options and Swaptions in Affine Term Structure Models. Mathematical Finance 12, 427-446.
-
(2002)
Mathematical Finance
, vol.12
, pp. 427-446
-
-
Singleton, K.1
Umantsev, L.2
-
242
-
-
0009141053
-
The Market for Interest Rate Swaps
-
Winter
-
Smith, C., C. Smithson, and L. Wakeman (1988). The Market for Interest Rate Swaps. Financial Management 17, Winter, 34-44.
-
(1988)
Financial Management
, vol.17
, pp. 34-44
-
-
Smith, C.1
Smithson, C.2
Wakeman, L.3
-
245
-
-
0000342340
-
Credit Rationing with Imperfect Information
-
Stiglitz, J., and L. Weiss (1981). Credit Rationing with Imperfect Information. American Economic Review 71, 393-410.
-
(1981)
American Economic Review
, vol.71
, pp. 393-410
-
-
Stiglitz, J.1
Weiss, L.2
-
246
-
-
0000076932
-
New Indexes of Coincident and Leading Economic Indicators
-
Stock, J., and M. Watson (1989). New Indexes of Coincident and Leading Economic Indicators. NBER Macro Annual, 351-395.
-
(1989)
NBER Macro Annual
, pp. 351-395
-
-
Stock, J.1
Watson, M.2
-
247
-
-
0040369551
-
Valuation of Swaps
-
In S. Khoury (Ed.), Recent Developments in International Banking. Amsterdam: North-Holland
-
Sundaresan, S. (1991). Valuation of Swaps. In S. Khoury (Ed.), Recent Developments in International Banking. Amsterdam: North-Holland.
-
(1991)
-
-
Sundaresan, S.1
-
248
-
-
84884069248
-
Understanding the Risks in Credit Default Swaps
-
March 16, 2001, New York
-
Tolk, J. (2001). Understanding the Risks in Credit Default Swaps. Special Report, Moody's Investors Services, March 16, 2001, New York.
-
(2001)
Special Report, Moody's Investors Services
-
-
Tolk, J.1
-
249
-
-
0002545167
-
Valuing Convertible Bonds with Credit Risk
-
September
-
Tsiveriotas, K., and C. Fernandes (1998). Valuing Convertible Bonds with Credit Risk. Journal of Fixed Income 8, September, 95-102.
-
(1998)
Journal of Fixed Income
, vol.8
, pp. 95-102
-
-
Tsiveriotas, K.1
Fernandes, C.2
-
250
-
-
0347078538
-
An Equilibrium Characterization of the TermStructure
-
Vasicek, O. (1977). An Equilibrium Characterization of the TermStructure. Journal of Financial Economics 5, 177-188.
-
(1977)
Journal of Financial Economics
, vol.5
, pp. 177-188
-
-
Vasicek, O.1
-
251
-
-
0040744711
-
Portfolio Credit Risk, I
-
September
-
Wilson, T. (1997a). Portfolio Credit Risk, I. RISK 10, September, 111-117.
-
(1997)
RISK
, vol.10
, pp. 111-117
-
-
Wilson, T.1
-
252
-
-
0040744711
-
). Portfolio Credit Risk, II
-
October
-
Wilson, T. (1997b). Portfolio Credit Risk, II. RISK 10, October, 56-61.
-
(1997)
RISK
, vol.10
, pp. 56-61
-
-
Wilson, T.1
-
253
-
-
0001290494
-
The Term Structure of Credit Spreads with Jump Risk
-
Zhou, C. (2001). The Term Structure of Credit Spreads with Jump Risk. Journal of Bankingand Finance 25, 2015-2040.
-
(2001)
Journal of Bankingand Finance
, vol.25
, pp. 2015-2040
-
-
Zhou, C.1
|