A Markov Model for the Term Structure of Credit Risk Spreads (1997)

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by Robert A. Jarrow , David Lando , Stuart M. Turnbull
Venue:Review of Financial Studies
Citations:200 - 12 self

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11 Arbitrage-free pricing of credit derivatives with rating transitions – Viral V. Acharya, Rangarajan K. Sundaram, Sanjiv Ranjan Das - 2002
19 The intersection of market and credit risk – Robert A. Jarrow , Stuart M. Turnbull - 2000
1 Probabilistic Aspects of Default Risk Modeling – Tomasz Bielecki, Marek Rutkowski - 1998
13 Credit Risk Modeling with Affine Processes – Darrell Duffie - 2004
115 Estimating the price of default risk – Gregory R. Duffee - 1996
5 Credit Risk Modelling: Intensity Based Approach – Tomasz Bielecki, Marek Rutkowski - 2000
16 STRUCTURAL VERSUS REDUCED FORM MODELS: A NEW INFORMATION BASED PERSPECTIVE – Robert A. Jarrow , Philip Protter - 2004
10 Default Recovery Rates and LGD in Credit Risk Modeling and Practice – Edward I. Altman
20 Default recovery rates in credit risk modelling: a review of the literature and empirical evidence – Edward Altman, Andrea Resti, Andrea Sironi - 2003
AN EXTENSION OF THE JARROW-LANDO-TURNBULL MODEL TO RANDOM RECOVERY RATE – Pietro Millossovich, Dipartimento Di
28 Term structure dynamics in theory and reality – Qiang Dai, Kenneth Singleton - 2003
Fixed Income Analysis: Securities, Pricing, and Risk Management – Claus Munk - 2003
An Integrated Pricing Model for Defaultable Loans and Bonds – Edward I. Altman, Mario Onorato
14 Liquidity and credit risk – Jan Ericsson, Olivier Renault - 2006
86 The Link Between Default and Recovery Rates: Effects on the Procyclicality of Regulatory Capital Ratios – Edward I. Altman, Brooks Brady, Andrea Resti, Andrea Sironi - 2003
Bonds with Common and Idiosyncratic State Variables – Ilias Lekkos, Rob Bliss, Darrell Duffie, William Perraudin, Costas Milas - 2004
4 How Important Is Sovereign Risk in Determining Corporate Default Premia? The Case of South Africa – Marcel Peter, Martin Grandes - 2005
32 A discrete-time approach to arbitrage-free pricing of credit derivatives – Sanjiv Ranjan Das, Rangarajan K. Sundaram - 2000
1 Structural Models of Credit with Default Contagion – Helen Haworth