The Determinants of Credit Spread Changes (2001)


Download Links

by Pierre Collin-Dufresne , Robert S. Goldstein , J. Spencer Martin
Citations:235 - 2 self

Documents Related by Co-Citation

214 Explaining the rate spread on corporate bonds – Edwin J. Elton, Martin J. Gruber, Deepak Agrawal, Christopher Mann - 2001
1239 On the pricing of corporate debt: The risk structure of interest rates – C. Merton, Robert C. Merton - 1974
427 Modeling Term Structures of Defaultable Bonds – Darrell Duffie, Kenneth J. Singleton - 1999
173 Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market – Sanjay Mithal, Francis A. Longstaff, Eric Neis, Sanjay Mithal, Alan White, Ryoichi Yamabe, Francis A. Longstaff Sanjay Mithal, Eric Neis - 2005
140 The relation between treasury yields and corporate bond yield spreads – Gregory R. Duffee - 1998
318 Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads – Hayne E. Leland, Klaus Bjerre Toft - 1996
98 The relationship between credit default swap spreads, bond yields, and credit rating announcements – John Hull, Mirela Predescu, Alan White, Joseph L. Rotman, Jerry Fons, Louis Gagnon, Jay Hyman, Hui Hao, Lew Johnson, Chris Mann - 2004
198 An econometric model of the term structure of interest rate swap yields – D Duffie, K J Singleton - 1997
391 A simple approach to valuing risky fixed and floating rate debt – Francis A. Longstaff, Eduardo S. Schwartz - 1995
136 How much of the corporate-Treasury yield spread is due to credit risk – J Huang, M Huang
146 Do credit spreads reflect stationary leverage ratios – Pierre Collin-Dufresne, Robert S Goldstein - 2001
236 On Cox Processes and Credit Risky Securities – D Lando - 1998
86 Equity volatility and corporate bond yields – John Y. Campbell, Glen B. Taksler N - 2003
366 Cox: Valuing corporate securities: some effects of bond indenture provisions – F Black, J C - 1976
76 2003, How much of the corporate-treasury yield spread is due to credit risk? a new calibration approach, Working Paper – J Huang, Ming Huang
92 An EBIT-based model of dynamic capital structure, forthcoming – Robert Goldstein, Nengjiu Ju, Hayne Leland, I. Introduction - 2000
2652 The pricing of options and corporate liabilities – F Black, M Scholes - 1973
150 Estimating the price of default risk – Gregory R. Duffee - 1996
149 Contingent Claims Analysis of Corporate Capital Structures: An Empirical Investigation,’’ The – E JONES, S MASON, E ROSENFELD Ž - 1984