Measuring Default Risk Premia from Default Swap Rates and EDFs (2004)

by Antje Berndt , Rohan Douglas , Darrell Due , Darrell Duffie , Mark Ferguson , David Schranz
Citations:132 - 12 self

Documents Related by Co-Citation

1583 On the pricing of corporate debt: The risk structure of interest rates – Robert C. Merton - 1974
308 The Determinants of Credit Spread Changes – Pierre Collin-Dufresne, Robert S. Goldstein, J. Spencer Martin - 2001
525 Modeling Term Structures of Defaultable Bonds – Darrell Duffie, Kenneth J. Singleton - 1999
499 Transform Analysis and Asset Pricing for Affine Jump-Diffusions – Darrell Duffie, Jun Pan, Kenneth Singleton - 2000
284 Explaining the rate spread on corporate bonds – Edwin J. Elton, Martin J. Gruber, Deepak Agrawal, Christopher Mann - 2001
3572 The pricing of options and corporate liabilities – F Black, M Scholes - 1973
1318 Common Risk Factors in the Returns On Stocks And Bonds – Eugene F. Fama, Kenneth R. French - 1993
392 Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads – Hayne E. Leland, Klaus Bjerre Toft - 1996
481 A simple approach to valuing risky fixed and floating rate debt – Francis A. Longstaff, Eduardo S. Schwartz - 1995