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

1128	A theory of the term-structure of interest rates - Cox, Ingersoll, et al. - 1985
1105	On the pricing of corporate debt: the risk structure of interest rates - Merton - 1974
371	A simple approach to valuing risky fixed and floating rate debt - Longstaff, Schwartz - 1995
357	Dynamic Asset Pricing Theory - Duffie - 2001
273	Pricing derivatives on financial securities subject to credit risk - Jarrow, Turnbull - 1995
228	A Markov model for the term structure of credit risk spreads - Jarrow, Lando, et al. - 1997
185	An econometric model of the term structure of interest rate swap yields - Duffie, Singleton - 1997
159	Maximum likelihood estimation for a multifactor equilibrium model of the term structure of interest rates - Chen, Scott - 1993
135	Contingent claims analysis of corporate capital structures: An empirical analysis - Jones, Mason, et al. - 1984
114	Exploiting the conditional density in estimating the term structure: and application of the Cox, Ingersoll and Ross model - Pearson, Sun - 1994
101	Tests for Units Roots: A Monte Carlo Investigation - Schwert - 1989
89	Special repo rates - Duffie - 1996
83	Swap rates and credit quality - Duffie, Huang - 1996
72	Pricing Credit Sensitive Debt when Interest Rates, Credit Ratings and Credit Spreads are Stochastic,” The - Das, Tufano - 1996
70	T.Iben “Corporate Bond Valuation and the Term Structure of Credit Spreads - Litterman - 1988
69	Variance Function Estimation - Davidian, Carroll - 1987
64	Some empirical estimates of the risk structure of interest rates - Sarig, Warga - 1989
51	Using default rates to model the term structure of credit risk, Financial Analyst Journal - Fons - 1994
44	An analytic solution for interest rate swap spreads - Grinblatt - 2001
44	The Slope of the Credit Yield Curve for Speculative-Grade Issuers - Helwege, Turner - 1999
35	Multi-factor Cox-Ingersoll-Ross Models of the Term Structure: Estimates and Tests from a Kalman Filter. mimeo - R, Scott - 2003
34	Firm Specific Information and the Correlation Between Individual Stocks and Bonds - Kwan - 1996
31	Estimatinh and testing exponential-affine term structure models by kalman filter. Review of Quantitative Finance and Accounting - Duan, Simonato - 1999
29	A State-Space Approach to Estimate and Test Multi-Factor Cox-Ingersoll-Ross Models of the Term structure - J, Pichler - 1999
25	Econometric modeling of term structures of defaultable bonds. Working paper, Graduate - Duffie, Singleton - 1994
23	Unit roots and the estimation of interest rate dynamics - Ball, Tourous - 1996
23	Pricing the risks of default. Working paper - Madan, Unal - 1994
20	Pricing swap default risk - Sorensen, Bollier - 1994
18	The Valuation of Default Risk in Corporate Bonds and Interest Rate Swaps. Working Paper - Nielsen, Ronn - 1995
18	An Econometric Model of the Term Structure of Interest-Rate Swap Yields - Darrell, Singleton - 1997
15	Treasury yields and corporate bond yield spreads: an empirical analysis, mimeo, Federal Reserve Board - Duffee - 1996
11	Corporate bond price discrepancies in the dealer and exchange markets - Warga - 1991
10	Pricing derivatives on nancial securities subject to credit risk - Jarrow, Turnbull - 1995
10	On the pricing of corporate debt: The risk structure of interest rates - Robert - 1974
7	Corporate Bond Defaults and Default Rates 1970-1990, The Journal of Fixed Income - 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
3	Estimating and Testing Exponential-A¢ 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