| | JEL Classification G3
"Corporate Finance and Governance"These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the G3 classification. (sorted by date) Banachewicz, Konrad , André Lucas, " Quantile Forecasting for Credit Risk Management Using Possibly Mis-specified Hidden Markov Models", Journal of Forecasting, Vol. 27, No. 7, (July 2008), pp. 566-586. A Multi-period Corporate Credit Model---An Intrinsic Valuation Approach
by Tsung-kang Chen of the National Taiwan University, and
Hsien-hsing Liao of the National Taiwan University
(413K PDF) -- 35 pages -- June 26, 2005 A Solvency Based Multi-period Corporate Short-term Credit Risk Model
by Hsien-hsing Liao of National Taiwan University, and
Tsung-kang Chen of National Taiwan University
(401K PDF) -- 46 pages -- May 9, 2005 Eberhart, Allan C., " A Comparison of Merton's Option Pricing Model of Corporate Debt Valuation to the Use of Book Values", Journal of Corporate Finance, Vol. 11, No. 1-2, (March 2005), pp. 401-426. Helwege, Jean, and Frank Packer, " Determinants of the Choice of Bankruptcy Procedure in Japan", Journal of Financial Intermediation, Vol. 12, No. 1, (January 2003), pp. 96-120. Insolvency or Liquidity Squeeze? Explaining Very Short-Term Corporate Yield Spreads
by Dan Covitz of the Federal Reserve Board, and
Chris Downing of the Rice University
(248K PDF) -- 42 pages -- October 2, 2002 Altman, Edward I. and Heather J. Suggitt, " Default Rates in the Syndicated Bank Loan Market: A mortality analysis", Journal of Banking & Finance, Vol. 24, No. 1-2. (January 2000), pp. 229-253. Anderson, Ronald, Suresh Sundaresan, " A Comparative Study of Structural Models of Corporate Bond Yields: An exploratory investigation", Journal of Banking & Finance, Vol. 24, No. 1-2, (January 2000), pp. 255-269. Understanding Aggregate Default Rates of High Yield Bonds
by Jean Helwege of the Federal Reserve Bank of New York, and
Paul Kleiman of the Federal Reserve Bank of New York
(75K PDF) -- 6 pages -- May 1996 Financial Innovation and the Management and Regulation of Financial Institutions
by Robert C. Merton of Harvard University
(1,310K PDF) -- 21 pages -- June 1995
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