The Determinants of Credit Spread Changes (2001)

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by Pierre Collin-Dufresne , Robert S. Goldstein , J. Spencer Martin
Citations:223 - 2 self

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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
On the Relation Between the Credit Spread Puzzle – Long Chen, Pierre Collin-dufresne, Robert S. Goldstein - 2006
Macroeconomic Determinants of the Term Structure of Corporate Spreads – Jun Yang, Jun Yang - 2008
Information, Liquidity and Corporate Yield Spreads – Xing Zhou, David Easley, Yongmiao Hong, David Ng, David Weinbaum, Xiaoyan Zhang
43 The Determinants of Credit Default Swap Premia – Jan Ericsson, Kris Jacobs, Rodolfo A. Oviedo - 2004
Inflation Uncertainty, Asset Valuations, and Five Credit Risk Puzzles ∗ – Alexander David - 2005
9 Expected returns, yield spreads, and asset pricing tests. SSRN Working Paper – Murillo Campello, Long Chen, Lu Zhang - 2004
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
143 Structural Models of Corporate Bond Pricing: An Empirical Analysis – Young Ho Eom, Jean Helwege, Jing-zhi Huang - 2003
48 Term structure dynamics in theory and reality – Qiang Dai, Kenneth Singleton - 2003
6 DETERMINANTS OF EURO TERM STRUCTURE OF CREDIT SPREADS – Astrid Van Landschoot - 2004
4 Structural rfv: Recovery form and defaultable debt analysis, working paper – Rajiv Guha, Ro Sbuelz - 2003
Stochastic Volatility and Asset Pricing Puzzles – Timothy J. Mcquade - 2013
Modelling Multiple Term Structures of Defaultable Bonds with Common and Idiosyncratic State Variables – Ilias Lekkos - 2004
28 Liquidity and credit risk – Jan Ericsson, Olivier Renault - 2006
Equity volatility and credit yield spreads – Ziemowit Bednarek - 2006
6 The valuation of corporate liabilities: Theory and tests – Jan Ericsson - 2003
4 Using Yield Spreads to Estimate Expected Returns on Debt and Equity – Ian A. Cooper, et al.