Structural Models of Corporate Bond Pricing: An Empirical Analysis (2003)

by Young Ho Eom , Jean Helwege , Jing-zhi Huang
Citations:143 - 5 self

Active Bibliography

Essays on Credit Risk Committee: – Yongjun Tang, Sheridan Titman Supervisor, Hong Yan Co-supervisor, Jennifer Huang, Stathis Tompaidis, Essays Credit Risk, Yongjun Tang, Yongjun Tang - 2005
How Much of the Corporate-Treasury Yield . . . – Jing-zhi Huang, Ming Huang - 2003
Spread is Due to Credit Risk? A New Calibration Approach – Jing-zhi Huang, Ming Huang - 2003
48 Term structure dynamics in theory and reality – Qiang Dai, Kenneth Singleton - 2003
Information, Liquidity and Corporate Yield Spreads – Xing Zhou, David Easley, Yongmiao Hong, David Ng, David Weinbaum, Xiaoyan Zhang
Macroeconomic Determinants of the Term Structure of Corporate Spreads – Jun Yang, Jun Yang - 2008
43 The Determinants of Credit Default Swap Premia – Jan Ericsson, Kris Jacobs, Rodolfo A. Oviedo - 2004
13 Credit spreads, optimal capital structure, and implied volatility with endogenous default and jump risk – Nan Chen, Steven Kou - 2005
Equity volatility and credit yield spreads – Ziemowit Bednarek - 2006
19 Illiquidity Spillovers: Theory and Evidence from European Telecom Bond Issuance – Yigal S. Newman, Michael A. Rierson - 2004
4 Using Yield Spreads to Estimate Expected Returns on Debt and Equity – Ian A. Cooper, et al.
Modelling Multiple Term Structures of Defaultable Bonds with Common and Idiosyncratic State Variables – Ilias Lekkos - 2004
6 The valuation of corporate liabilities: Theory and tests – Jan Ericsson - 2003
On the Relation Between the Credit Spread Puzzle – Long Chen, Pierre Collin-dufresne, Robert S. Goldstein - 2006
3 A Simple Robust Link Between American Puts and Credit Insurance – Peter Carr , Liuren Wu - 2008
6 DETERMINANTS OF EURO TERM STRUCTURE OF CREDIT SPREADS – Astrid Van Landschoot - 2004
224 The Determinants of Credit Spread Changes – Pierre Collin-Dufresne, Robert S. Goldstein, J. Spencer Martin - 2001
3 Explaining Credit Spread Changes: Some New Evidence from Option-Adjusted Spreads of Bond Indexes – Jing-zhi Huang, Weipeng Kong - 2003
Inflation Uncertainty, Asset Valuations, and Five Credit Risk Puzzles ∗ – Alexander David - 2005