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:237 - 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
33 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
16 Credit Risk Modeling with Affine Processes – Darrell Duffie - 2004
150 Estimating the price of default risk – Gregory R. Duffee - 1996
6 Credit Risk Modelling: Intensity Based Approach – Tomasz Bielecki, Marek Rutkowski - 2000
25 STRUCTURAL VERSUS REDUCED FORM MODELS: A NEW INFORMATION BASED PERSPECTIVE – Robert A. Jarrow , Philip Protter - 2004
23 Default recovery rates in credit risk modelling: a review of the literature and empirical evidence – Edward Altman, Andrea Resti, Andrea Sironi - 2003
14 Default Recovery Rates and LGD in Credit Risk Modeling and Practice – Edward I. Altman
AN EXTENSION OF THE JARROW-LANDO-TURNBULL MODEL TO RANDOM RECOVERY RATE – Pietro Millossovich, Dipartimento Di
48 Term structure dynamics in theory and reality – Qiang Dai, Kenneth Singleton - 2003
2 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
9 The Jarrow/Turnbull default risk model: Evidence from the German market, Working paper, Vienna University of Economics. url: http://www.wu-wien.ac.at/usr/abwldcf/mfrueh/publ.html Fr├╝hwirth – Manfred Fruhwirth, Leopold Sogner - 2001
115 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
28 Liquidity and credit risk – Jan Ericsson, Olivier Renault - 2006
Modelling Multiple Term Structures of Defaultable Bonds with Common and Idiosyncratic State Variables – Ilias Lekkos - 2004
5 How Important Is Sovereign Risk in Determining Corporate Default Premia? The Case of South Africa – Marcel Peter, Martin Grandes - 2005
26 A discrete-time approach to arbitrage-free pricing of credit derivatives – Sanjiv Ranjan Das, Rangarajan K. Sundaram - 2000