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| | JEL Classification E43
"Determination of Interest Rates; Term Structure of Interest Rates"These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the E43 classification. (sorted by date) A Value at Risk Analysis of Credit Default Swaps
by Burkhart Raunig of the Austrian Central Bank, and
Martin Scheicher of the European Central Bank
(1,565K PDF) -- 26 pages -- December 2007 Jumps and Recovery Rates Inferred from Corporate CDS Premia
by Paul Schneider of Vienna University of Economics and Business Administration,
Leopold Sögner of Vienna University of Technology, and
Tanja Veža of Vienna University of Economics and Business Administration
(550K PDF) -- 43 pages -- February 3, 2007 Bond Durations: Corporates vs. Treasuries
by Holger Kraft of the University of Kaiserslautern, and
Claus Munk of University of Southern Denmark
(260K PDF) -- 28 pages -- January 19, 2007 Credit Derivatives with Recovery of Market Value for Multiple Firms
by Keiichi Tanaka of Tokyo Metropolitan University
(161K PDF) -– 16 pages -- August 2006 Yongjun, Dragon and Tangy Hong Yanz, "Macroeconomic Conditions, Firm Characteristics, and Credit Spreads", Journal of Financial Services Research, Vol. 29, No. 3, (June 2006), pp. 177-210. [Abstract] Dynamic Interactions Between Interest Rate, Credit, and Liquidity Risks: Theory and Evidence from the Term Structure of Credit Default Swap Spreads
by Ren-raw Chen of Rutgers University,
Xiaolin Cheng of Rutgers University, and
Liuren Wu of Baruch College
(338K PDF) -- 50 pages -- August 8, 2005 The Jarrow and Turnbull Default Risk Model - Evidence from the German Market
by Manfred Frühwirth of Vienna University, and
Leopold Sögner of the Technical University of Vienna
(565K PDF) -- 49 pages -- October 17, 2004 Loan Pricing under Basel Capital Requirements
by Rafael Repullo of CEMFI & CEPR, and
Javier Suarez of CEMFI & CEPR
(328K PDF) -- 37 pages -- July 2004 Estimating the Term Structure of Yield Spreads from Callable Corporate Bond Price Data
by Antje Berndt of Cornell University
(389K PDF) -- 43 pages -- April 16, 2004 Is Default Event Risk Priced in Corporate Bonds?
by Joost Driessen of the University of Amsterdam
(275K PDF) -- 48 pages -- March 2002 The Jarrow/Turnbull Default Risk Model: Evidence from the German Market
by Manfred Frühwirth of Vienna University of Economics, and
Leopold Sögner of Vienna University of Economics
(296K PDF) -- 26 pages -- October 8, 2001 Default Premia on European Government Debt
by Ingunn M. Lønning of the Norges Bank
(107K PDF) -- 41 pages -- December 1999 A Two-Factor Hazard-Rate Model for Pricing Risky Debt and the Term Structure of Credit Spreads
by Dilip Madan of the University of Maryland, and
Haluk Unal of the University of Maryland
(1,109K PDF) -- 32 pages -- June 28, 1999 Arvanitis, Angelo, Jonathan Gregory, and Jean-Paul Laurent, "Building Models For Credit Spreads", Journal of Derivatives, Vol. 6, No. 3, (Spring 1999) pp. 27-43. [Abstract]
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