Estimating the price  of   default risk

Estimating the price of default risk (1996)

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by Gregory R. Duffee

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@MISC{Duffee96estimatingthe,
    author = {Gregory R. Duffee},
    title = {Estimating the price of default risk},
    year = {1996}
}

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Citations

1211	On the Pricing of Corporate Debt: The Risk Structure of Interest Rates - Merton - 1974
1201	A Theory of the Term Structure of Interest Rates - Cox, Ingersoll, et al. - 1985
398	Dynamic Asset Pricing Theory - Duffie - 1996
384	A Simple Approach to Valuing Risky Fixed and Floating Rate Debt - Longsta¤, Schwartz - 1995
277	Pricing Derivatives on Financial Securities Subject to Credit Risk - Jarrow, Turnbull - 1995
237	A Markov Model for the Term Structure of Credit Risk Spreads - Jarrow, Lando, et al. - 1997
197	An Econometric Model of the Term Structure of InterestRate Swap Yields - Duffie, Singleton - 1997
173	Maximum Likelihood Estimation of a Multi-factor Equilibrium Model of the Term Structure of Interest Rates - Chen, Scott - 1993
147	Contingent Claims Analysis of Corporate Capital Structures: an Empirical Investigation - Jones, Mason, et al. - 1984
116	Exploiting the conditional density in estimating the term structure: An application to the CIR model - Pearson, Sun - 1994
114	Tests for Unit Roots: A Monte Carlo Investigation - SCHWERT - 1989
102	Special Repo Rates - Duffie - 1996
83	Swap Rates and Credit Quality - Duffie, Huang - 1996
76	Variance function estimation - Davidian, Carroll - 2002
73	Pricing Credit Sensitive Debt when Interest Rates and Credit Spreads are Stochastic - Das, Tufano - 1996
71	Corporate Bond Valuation and the Term Structure of Credit Spreads - R, Iben - 1991
70	Some empirical estimates of the risk structure of interest rates - Sarig, Warga - 1989
52	Using default rates to model the term structure of credit risk - Fons - 1994
51	The Slope of the Credit Yield Curve for SpeculativeGrade Issuers - Helwege, Turner - 1999
46	An analytic solution for interest rate swap spreads - Grinblatt - 2001
42	Firm Specific Information and the Correlation Between Individual Stocks and Bonds - Kwan - 1996
40	Cox-Ingersoll-Ross models of the term structure:estimates and tests from a Kalman filter model”, mimeo - Chen, Scott - 1995
33	Estimating and Testing ExponentialAffine Term Structure Models by Kalman Filter. Discussion paper, Centre universitaire de recherche et analyze des organizations (CIRANO - Duan, Simonato - 1995
33	A State-space Approach to Estimate and Test Multifactor Cox–Ingersoll–Ross Models of the Term Structure - Geyer, Pichler - 1999
28	Unit Roots and the Estimation of Interest Rate Dynamics - Ball, Torous - 1996
25	Econometric modeling of term structures of defaultable bonds. Working paper, Graduate - Duffie, Singleton - 1994
23	Pricing the risks of default, working paper - Madan, Unal - 1993
22	Pricing swap default risk - Sorensen, Bollier - 1994
19	The Valuation of Default Risk in Corporate Bonds and Interest Rate Swaps. Working Paper - Nielsen, Ronn - 1995
19	An econometric model of the term structure of interest-rate swap yields - Du, D, et al. - 1997
15	Treasury yields and corporate bond yield spreads: An empirical analysis, Federal Reserve Board working paper - Duffee - 1996
12	Corporate bond price discrepancies in the dealer and exchange markets - Warga - 1991
11	On the pricing of corporate debt: The risk structure of interest rates - Robert - 1974
10	Pricing derivatives on nancial securities subject to credit risk - Jarrow, Turnbull - 1995
8	Corporate bond defaults and default rates 1970-90 - Fons, Kimball - 1991
7	On Cox processes and credit risky bonds. Working paper - Lando - 1994
6	Pricing the risks of default," Working paper - Madan, Unal - 1994
6	Dynamic Asset Pricing Theory. 2d ed - Duffie - 1996
4	Estimating and Testing ExponentialA¢ ne Term Structure Models by Kalman Filter, Review of Quantitative Finance and Accounting - Duan, Simonato - 1999
2	On Cox processes and credit risky bonds." Working paper - Lando - 1994
1	The Review of Financial Studies / v 12 n 1 - Lando - 1999
1	Pricing the Risks of Default," Working Paper 94-16 - Madan, Unal - 1994
1	A Fixed Income Data Base," working paper - Warga - 1997