Credit Pricing/Credit Spreads
From FinMath
- Randomized Merton Model on Credit Spreads
- Valuation and Hedging of Defaultable Game Options in a Hazard Process Model
- Pricing Options on Defaultable Stocks
- Credit Spreads on Corporate Bonds and the Macroeconomy in Japan
- Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure
- Decomposing Swap Spreads
- The Market Price of Credit Risk
- The Empirical Determinants of Local-Currency-Denominated Corporate Spreads in Emerging Economies: Evidence from South Africa
- Predicting Credit Spreads
- Pricing Corporate Securities under Noisy Asset Information
- Volatiltiy and Jump Risk Premia in Emerging Market Bonds
- Credit Derivatives and Loan Pricing
- A Model for Counterparty Risk with Geometric Attenuation Effect and the Valuation of CDS
- Utility-Based Pricing of Defaultable Bonds and Decomposition of Credit Risk
- Corporate Bond Credit Spreads and Forecast Dispersion
- Pricing Interest Rate-Sensitive Credit Portfolio Derivatives
- Equity Volatility and Credit Yield Spreads
- Default and Information
- The Market Price of Risk in Interest Rate Swaps: The roles of default and liquidity risks
- Derivative Pricing Based on Time Series Models of Default Probabilities (Master's Thesis)
- Credit Risk and Market Risk: Analyzing US Credit Spreads
- Pricing Corporate Bonds in an Arbitrary Jump-Diffusion Model Based on an Improved Brownian-bridge Algorithm
- Valuation of Default Sensitive Claims Under Imperfect Information
- Pricing of Corporate and Portfolio Securities in Buyer-Supplier Networks
- Hybrid Derivatives Pricing Under the Potential Approach
- Can Structural Models Price Default Risk? Evidence from Bond and Credit Derivative Markets
- A Dynamic Programming Approach for the Valuation of Callable Corporate Bonds within the CIR Framework
- On the Relation Between the Credit Spread Puzzle and the Equity Premium Puzzle
- Liquidation Triggers and the Valuation of Equity and Debt
- Dynamical Analysis of Corporate Bonds based on the Yield Spread Term-Quality Surface
- Individual Stock-Option Prices and Credit Spreads
- Default Risk in Corporate Yield Spreads
- Affine Model for Credit Risk Analysis
- The Pricing of Unexpected Credit Losses
- Stochastic Volatility Effects on Defaultable Bonds
- Corporate Credit Risk Changes: Common Factors and Firm-Level Fundamentals
- Credit Spreads, Optimal Capital Structure, and Implied Volatility with Endogenous Default and Jump Risk
- From Default Probabilities to Credit Spreads: Credit Risk Models Do Explain Market Prices
- A No-Arbitrage Analysis of Economic Determinants of the Credit Spread Term Structure
- Estimating Structural Bond Pricing Models
- An Integrated Pricing Model for Defaultable Loans and Bonds
- Explaining the Level of Credit Spreads: Option-implied jump risk premia in a firm value model
- Pricing Callable Bonds with Stochastic Interest Rate and Stochastic Default Risk: A 3D Finite Difference Model
- Estimating the Term Structure of Yield Spreads from Callable Corporate Bond Price Data
- Investigating the Role of Systematic and Firm-Specific Factors in Default Risk: Lessons from Empirically Evaluating Credit Risk Models
- Determinants of Euro Term Structure of Credit Spreads
- Do Macroeconomic Variables Matter for the Pricing of Default Risk? Evidence from the Residual Analysis of the Reduced-Form Model Pricing Errors
- Bond Prices, Default Probabilities and Risk Premiums
- Using Yield Spreads to Estimate Expected Returns on Debt and Equity
- An Empirical Comparison of Credit Spreads Between the Bond Market and the Credit Default Swap Market
- Indifference Pricing and Hedging of Defaultable Claims
- Adverse Selection, Moral Hazard and the Term Structure of Default
- Pricing and Hedging of Contingent Credit Lines
- Valuing Euro Rating-Triggered Step-Up Telecom Bonds
- Modeling the Dynamics of Credit Spreads with Stochastic Volatility
- Equity Volatility and Corporate Bond Yields
- Pricing the Risk of Default: Are Bonds Enough?
- Pricing and Hedging of Credit Risk: Replication and Mean-Variance Approaches
- Explaining Credit Spread Changes: New Evidence from Option-Adjusted Bond Indexes
- Information Precision and the Term Structure of Credit Spreads: An Empirical Examination
- Bond Pricing with Default Risk
- Structural Models of Corporate Bond Pricing: An empirical analysis
- Explaining Credit Spread Changes: Some New Evidence from Option-Adjusted Spreads of Bond Indices
- Pricing Collateralized Swaps
- How Much of the Corporate-Treasury Yield Spread is Due to Credit Risk?
- A General Framework for Pricing Credit Risk
- An Econometric Model of Credit Spreads with Rebalancing, ARCH and Jump Effects
- Pricing Corporate Bonds with Dynamic Default Barriers
- Testing Merton's Model for Credit Spreads on Zero-Coupon Bonds
- The Valuation of Corporate Liabilities: Theory and Tests
- Valuing Corporate Liabilities When the Default Threshold is not an Absorbing Barrier
- Which Factors Affect Corporate Bond Pricing? Evidence from Eurobonds Primary Market Spreads
- Fixed Income Pricing
- A Model for Pricing Stocks and Bonds with Default Risk
- How Downward-Sloping are Demand Curves for Credit Risk?
- Term Structure Dynamics in Theory and Reality
- Is Default Event Risk Priced in Corporate Bonds?
- The Components of Corporate Credit Spreads: Default, Recovery, Tax, Jumps, Liquidity, and Market Factors
- The Jarrow/Turnbull Default Risk Model: Evidence from the German Market
- Do Credit Spreads Reflect Stationary Leverage Ratios?
- Counterparty Risk and the Pricing of Defaultable Securities
- The Joint Estimation of Term Structures and Credit Spreads
- The Dynamics of Corporate Credit Spreads
- An Empirical Investigation in Credit Spread Indices
- Explaining the Rate Spread on Corporate Bonds
- A LIBOR Market Model with Default Risk
- Term Structures of Credit Spreads with Incomplete Accounting Information
- Factors Affecting the Yields on Noninvestment Grade Bond Indices: A cointegration analysis
- Corporate Bonds: Valuation, Hedging, and Optimal Call and Default Policies
- Floating-Fixed Credit Spreads
- Default Premia on European Government Debt
- A Two-Factor Hazard-Rate Model for Pricing Risky Debt and the Term Structure of Credit Spreads
- Convertible Bonds with Market Risk and Credit Risk
- Modelling European Credit Spreads
- A Model of Corporate Bond Prices with Dynamic Capital Structure
- A Comparison of Bond Pricing Models in the Pricing of Credit Risk
- A Hidden Markov Chain Model for the Term Structure of Bond Credit Risk Spreads
- Modeling Term Structures of Defaultable Bonds
- Swap Pricing with Two-Sided Default Risk in a Rating-Based Model
- Valuation Models for Default-Risky Securities: An Overview
- Credit Spreads and Interest Rates: A Cointegration Approach
- A Framework for Valuing Corporate Securities
- Defaultable Term Structure Models with Fractional Recovery of Par
- The Valuation of Default Risk in Corporate Bonds and Interest Rate Swaps
- The Term Structure of Credit Risk: Estimates and Specification Tests
- Estimating the Price of Default Risk
- Treasury yields and corporate bond yield spreads: An empirical analysis
- Swap Rates and Credit Quality: Supplementary Results
- The Direct Approach to Debt Option Pricing
- Bond Prices, Yield Spreads, and Optimal Capital Structure with Default Risk
