Downloadable Papers (sorted by date) See the top 20 books referenced/cited in these (below listed) papers. I've put a gray background on the top five most browsed papers in this category. (Oct-1)
On Bounding Credit Event Risk Premia
by Jennie Bai of Federal Reserve Bank of New York,
Pierre Collin-Dufresne of Columbia University,
Robert S. Goldstein of University of Minnesota, and
Jean Helwege of University of South Carolina
(535K PDF) -- 30 pages -- October 2012 Pricing Swaps Including Funding Costs
by Antonio Castagna of the iason Ltd.
(243K PDF) -- 19 pages -- July 28, 2011 Dynamics of Corporate Security Prices in Firm Value Models with Incomplete Information
by Rüdiger Frey of WU Vienna & University of Leipzig, and
Dan Lu of UBS Zurich
(463K PDF) -- 22 pages -- May 8, 2012 Downside Risk and the Size of Credit Spreads
by Gordon Gemmill of the University of Warwick, and
Aneel Keswani of the City University, London
(239K PDF) -- 35 pages -- April 2010 Modeling of Interest Rate Term Structures Under Collateralization and its Implications
by Masaaki Fujii of the University of Tokyo,
Yasufumi Shimada of the Shinsei Bank, Ltd, and
Akihiko Takahashi of the University of Tokyo
(3,521K PDF) -- 20 pages -- December 22, 2010 Credit Risk, Market Sentiment and Randomly-Timed Default
by Dorje C. Brody of Imperial College London,
Lane P. Hughston of Imperial College London, and
Andrea Macrina of King's College London & Kyoto University
(172K PDF) -- 12 pages -- June 15, 2010 A Note on Construction of Multiple Swap Curves with and without Collateral
by Masaaki Fujii of the University of Tokyo,
Yasufumi Shimada of Shinsei Bank, Limited, and
Akihiko Takahashi of the University of Tokyo
(179K PAGES) -- 21 pages -- January 25, 2010 Is there a Distress Risk Anomaly? Corporate bond spread as a proxy for default risk
by Deniz Anginer of University of Michigan, and
Çelim Yıldızhan of University of Michigan
(492K PDF) -- 47 pages -- January 18, 2010 Pricing Corporate Bonds in an Arbitrary Jump-Diffusion Model Based on an Improved Brownian-bridge Algorithm
by Johannes Ruf of the University of Ulm, and
Matthias Scherer of the University of Ulm
(223K PDF) -- 18 pages -- November 5, 2009 Detecting Regime Shifts in Corporate Credit Spreads
by Georges Dionne of HEC Montreal,
Pascal François of HEC Montreal, and
Olfa Maalaoui of HEC Montreal
(314K PDF) -- 46 pages -- August 2009 Credit Spreads, Optimal Capital Structure, and Implied Volatility with Endogenous Default and Jump Risk
by Nan Chen of the Chinese University of Hong Kong, and
Steven G. Kou of Columbia University
(703K PDF) -- 36 pages -- July 2009 Defaultable Game Options in a Hazard Process Model
by Tom R. Bielecki of the Illinois Institute of Technology,
Stéphane Crépey of the Université d'Évry Val d'Essonne
Monique Jeanblanc of the Université d'Évry Val d'Essonne & Europlace Institute of Finance, and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology
(747K PDF) -- 33 pages -- July 2009 Fallen Angels and Price Pressure
by Brent W. Ambrose of Pennsylvania State University,
Kelly N. Cai of the University of Michigan - Dearborn, and
Jean Helwege of Pennsylvania State University
(116K PDF) -- 31 pages -- June 2, 2009 Credit Risk Spreads in Local and Foreign Currencies
by Dan Galai of Sigma Group, Israel, and
Zvi Wiener of Hebrew University of Jerusalem
(947K PDF) -- 21 pages -- May 2009 Credit Market Shocks and Economic Fluctuations: Evidence from corporate bond and stock markets
by Simon Gilchrist of Boston University,
Vladimir Yankov of Boston University, and
Egon Zakrajšek of the Federal Reserve Board
(497K PDF) -- 49 pages -- April 7, 2009 Credit Spread Changes within Switching Regimes
by Olfa Maalaoui of HEC Montreal,
Georges Dionne of HEC Montreal, and
Pascal François of HEC Montreal
(314K PDF) -- 52 pages -- February, 12, 2009 Default Risk in Corporate Yield Spreads
by Georges Dionne of HEC Montréal,
Geneviève Gauthier of HEC Montréal,
Khemais Hammami of HEC Montréal,
Mathieu Maurice of HEC Montréal, and
Jean-Guy Simonato of HEC Montréal
(170K PDF) -- 36 pages -- January 2009 Determinants of Asset-Backed Security Prices in Crisis Periods
by William Perraudin of Imperial College & Risk Control Limited, and
Shi Wu of Imperial College and Risk Control Limited
(170K PDF) -- 36 pages -- December 2008 Explaining the Level of Credit Spreads: Option-implied jump risk premia in a firm value model
by K.J. Martijn Cremers of Yale University,
Joost Driessen of the University of Amsterdam, and
Pascal Maenhout of INSEAD
(303K PDF) -- 34 pages -- September 2008 The Market Price of Credit Risk: The impact of asymmetric information
by Kay Giesecke of Stanford University, and
Lisa R. Goldberg of MSCI Barra
(245K PDF) -- 24 pages -- July 7, 2008 Individual Stock-Option Prices and Credit Spreads
by Martijn Cremers of the Yale School of Management,
Joost Driessen of the University of Amsterdam,
Pascal Maenhout of INSEAD, and
David Weinbaum of Cornell University
(418K PDF) -- 31 pages -- July 2008 A No-Arbitrage Analysis of Economic Determinants of the Credit Spread Term Structure
by Liuren Wu of Baruch College, and
Frank Xiaoling Zhang of Morgan Stanley
(205K PDF) -- 16 pages -- June 2008 Credit Spreads and Incomplete Information
by Snorre Lindset of Sør-Trøndelag University College & Norwegian University of Science and Technology,
Arne-Christian Lund of the Norwegian School of Economics and Business Administration, and
Svein-Arne Persson of the Norwegian School of Economics and Business Administration & Sør-Trøndelag University College
(297K PDF) -- 42 pages -- May 14, 2008 Valuation of Default-sensitive Claims under Imperfect Information
by Delia Coculescu of ETH Zürich,
Hélyette Geman of Birkbeck University & ESSEC, and
Monique Jeanblanc of the Université d'Évry Val d'Essonne & Europlace Institute of Finance
(791K PDF) -- 24 page -- April 2008 Randomized Structure Model of Credit Spreads
by Chuang Yi of McMaster University,
Alexander Tchernitser of the Bank of Montreal, and
Tom Hurd of McMaster University
(291K PDF) -- 31 pages -- April 2008 Decomposing Swap Spreads
by Peter Feldhütter of the Copenhagen Business School, and
David Lando of the Copenhagen Business School & Princeton University
(480K PDF) -- 57 pages -- February 20, 2008 Predicting Credit Spreads
by C.N.V. Krishnan of Case Western Reserve University,
Peter H. Ritchken of Case Western Reserve University, and
James B. Thomson of Case Western Reserve University
(522K PDF) -- 54 pages -- February 5, 2008 Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure
by Hui Chen of the Massachusetts Institute of Technology
(477K PDF) -- 73 pages -- January 20, 2008 Pricing Options on Defaultable Stocks
by Erhan Bayraktar of the University of Michigan
(249K PDF) -- 26 pages -- December 2007 Credit Spreads on Corporate Bonds and the Macroeconomy in Japan
by Kiyotaka Nakashima of Kyoto Gakuen University, and
Makoto Saito of Hitotsubashi University
(535K PDF) -- 39 pages -- November 2007 Corporate Bond Credit Spreads and Forecast Dispersion
by Levent Güntay of Indiana University, and
Dirk Hackbarth of University of Illinois
(455K PDF) -- 18 pages -- October 2010 Ratings-Based Pricing and Stochastic Spreads
by Mariam Harfush-Pardo of Risk Control Limited
Robert Lamb of Imperial College, and
William Perraudin of Imperial College
(292K PDF) -- 33 pages -- September 2007 Volatility and Jump Risk Premia in Emerging Market Bonds
by John M. Matovu of Makerere University
(520K PDF) -- 27 pages -- July 2007 The Empirical Determinants of Local-Currency-Denominated Corporate Spreads in Emerging Economies: Evidence from South Africa
by Martin Grandes of the the American University of Paris, and
Marcel Peter of Swiss National Bank
(338K PDF) -- 40 pages -- July 2007 Pricing Corporate Securities under Noisy Asset Information
by Rüdiger Frey of the University of Leipzig, and
Thorsten Schmidt of the University of Leipzig
(504K PDF) -- 18 pages -- May 7, 2007 An Empirical Study of Corporate Bond Pricing with Unobserved Capital Structure Dynamics
by Iain Campbell Maclachlan of the University of Melbourne
(5125K PDF) -- 274 pages -- May 2007 Credit Derivatives and Loan Pricing
by Lars Norden of Mannheim University, and
Wolf Wagner of Tilburg University & Cambridge University
(202K PDF) -- 35 pages -- February 23, 2007 Valuation and Hedging of Defaultable Game Options in a Hazard Process Model
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Stéphane Crépey of the Université d'Évry,
Monique Jeanblanc of the Université d'Évry, and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology
(358K PDF) -- 24 pages -- February 21, 2007 A Model for Counterparty Risk with Geometric Attenuation Effect and the Valuation of CDS
by Yunfen Bai of Shanghai Jiaotong University & Shijiazhuang College,
Xinhua Hu of Shanghai Jiaotong University, and
Zhongxing Ye of Shanghai Jiaotong University
(154K PDF) -- 8 pages -- January 2007 Utility-Based Pricing of Defaultable Bonds and the Decomposition of Credit Risk
by Tomoaki Shouda of the Mitsubishi UFJ Trust Investment Technology Institute Co., Ltd. & Hitotsubashi University
(571K PDF) -- 22 pages -- December 20, 2006 Pricing Interest Rate-Sensitive Credit Portfolio Derivatives
by Philippe Ehlers of ETH Zurich, and
Philipp J. Schönbucher of ETH Zurich
(326K PDF) -- 34 pages -- December 2006 Equity Volatility and Credit Yield Spreads
by Ziemowit Bednarek of the University of California, Berkeley
(400K PDF) -- 45 pages -- November 9, 2006 Default and Information
by Kay Giesecke of Stanford University
(433K PDF) -- 23 pages -- November 2006 The Market Price of Risk in Interest Rate Swaps: The roles of default and liquidity risks
by Jun Liu of the University of California, San Diego,
Francis A. Longstaff of the University of California, Los Angeles, and
Ravit E. Mandell of Citigroup
(661K PDF) -- 23 pages -- September 2006 Derivative Pricing Based on Time Series Models of Default Probabilities (Master's Thesis)
by Kai-Hsiang Chang of National Sun Yat-sen University, Taiwan
(634K PDF) -- 43 pages -- August 2, 2006 Credit Risk and Market Risk: Analyzing US Credit Spreads
by Hayette Gatfaoui of the Rouen School of Management
(979K PDF) -- 59 pages -- August 2006 Investigating the Role of Systematic and Firm-Specific Factors in Default Risk: Lessons from empirically evaluating credit risk models
by Gurdip Bakshi of the University of Maryland,
Dilip Madan of the University of Maryland, and
Frank Xiaoling Zhang of the Federal Reserve Board of Governors
(179K PDF) -- 33 pages -- July 2006 Pricing of Corporate and Portfolio Securities in Buyer-Supplier Networks
by Gorazd Brumen of the University of Zürich, and
Paolo Vanini of the University of Zürich & Zürcher Kantonalbank
(319K PDF) -- 40 pages -- May 19, 2006 Hybrid Derivatives Pricing Under the Potential Approach
by Giuseppe Di Graziano of the University of Cambridge, and
L.C.G. Rogers of the University of Cambridge
(182K PF) -- 15 pages -- May 4, 2006 Affine Models for Credit Risk Analysis
by Christian Gouriéroux of CREST & CEPREMAP & the University of Toronto,
Alain Monfort of CNAM & CREST, and
Vassilis Polimenis of the University of California, Riverside
(328K PDF) -- 37 pages -- April 20, 2006 Can Structural Models Price Default Risk? Evidence from Bond and Credit Derivative Markets
by Jan Ericsson of McGill University & SIFR,
Joel Reneby of the Stockholm School of Economics, and
Hao Wang of McGill University
(354K PDF) -- 37 pages -- April 10, 2006 A Dynamic Programming Approach for the Valuation of Callable Corporate Bonds within the CIR Framework
by Luca Passalacqua of the Università di Roma La Sapienza
(236K PDF) -- 16 pages -- March 21, 2006 On the Relation Between the Credit Spread Puzzle and the Equity Premium Puzzle
by Long Chen of Michigan State University,
Pierre Collin-Dufresne of the University of California, Berkeley, and
Robert S. Goldstein of the University of Minnesota
(608K PDF) -- 58 pages -- March 17, 2006 Liquidation Triggers and the Valuation of Equity and Debt
by Dan Galai of the Hebrew University of Jerusalem & New York University,
Alon Raviv of the Hebrew University of Jerusalem, and
Zvi Wiener of the Hebrew University of Jerusalem
(330K PDF) -- 35 pages -- January 26, 2006 Dynamical Analysis of Corporate Bonds based on the Yield Spread Term-Quality Surface
by Tomoaki Shouda of Mitsubishi UFJ Trust Investment Technology Institute Co., Ltd and Hitotsubashi University
(2,907K PDF) -- 34 pages -- January 16, 2006 The Pricing of Unexpected Credit Losses
by Jeffery D. Amato of the Bank for International Settlements, and
Eli M. Remolona of the Bank for International Settlements
(293K PDF) -- 46 pages -- November 2005 Stochastic Volatility Effects on Defaultable Bonds
by Jean-Pierre Fouque of North Carolina State University,
Ronnie Sircar of Princeton University, and
Knut Sølna of the University of California Irvine
(681K PDF) -- 33 pages -- October 24, 2005 Corporate Credit Risk Changes: Common Factors and Firm-Level Fundamentals
by Doron Avramov of the University of Maryland,
Gergana Jostova of George Washington University, and
Alexander Philipov of American University
(268K PDF) -- 39 pages -- September 22, 2005 From Default Probabilities to Credit Spreads: Credit risk models do explain market prices
by Stefan M. Denzler of Converium Ltd.,
Michel M. Dacorogna of Converium Ltd.,
Ulrich A. Müller of Converium Ltd., and
Alexander J. McNeil of Swiss Federal Institute of Technology (ETH)
(414K PDF) -- 18 pages -- June 25, 2005 Estimating Structural Bond Pricing Models
by Jan Ericsson of McGill University, and
Joel Reneby of the Stockholm School of Economics
(504K PDF) -- 29 pages -- March 2005 An Integrated Pricing Model for Defaultable Loans and Bonds
by Mario Onorato of City University, London, and
Edward I. Altman of New York University
(532K PDF) - 21 pages -- March 2005 Pricing Callable Bonds with Stochastic Interest Rate and Stochastic Default Risk: A 3D Finite Difference Model
by David Wang of Hsuan Chuang University
(62K PDF) -- 10 pages -- February 2005 Efficient Pricing of Default Risk: Different approaches for a single goal
by Damiano Brigo of Banca IMI, and
Massimo Morini of the University of Milan Bicocca
(99K PDF) -- 10 pages -- 2005 Estimating the Term Structure of Yield Spreads from Callable Corporate Bond Price Data
by Antje Berndt of Cornell University
(402K PDF) -- 43 pages -- December 16, 2004 Determants of Euro Term Structure of Credit Spreads
by Astrid Van Landschoot of National Bank of Belgium & Ghent University
(1,204K PDF) -- 58 pages -- October 2004 Do Macroeconomic Variables Matter for the Pricing of Default Risk? Evidence from the Residual Analysis of the Reduced-Form Model Pricing Errors
by Yan Alice Xie of the University of Michigan - Dearborn,
Chunchi Wu of Syracuse University, and
Jian Shi of Marshall University
(83 K PDF) -- 30 pages -- September 8, 2004 Bond Prices, Default Probabilities and Risk Premiums
by John Hull of the University of Toronto,
Mirela Predescu of the University of Toronto, and
Alan White of the University of Toronto
(136K PDF) -- 11 pages -- September 2004 Using Yield Spreads to Estimate Expected Returns on Debt and Equity
by Ian A. Cooper of the London Business School, and
Sergei A. Davydenko of the London Business School
(331K PDF) -- 35 pages -- August 9, 2004 An Empirical Comparison of Credit Spreads Between the Bond Market and the Credit Default Swap Market
by Haibin Zhu of the Bank for International Settlements
(490K PDF) -- 37 pages -- August 2004 Indifference Pricing and Hedging of Defaultable Claims
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of Warsaw University of Technology
(271K PDF) -- 27 pages -- May 1, 2004 Adverse Selection, Moral Hazard and the Term Structure of Default
by Koresh Galil of the Goethe University of Frankfurt & Tel-Aviv University
(511K PDF) -- 43 pages -- March 2004 Valuing Euro Rating-Triggered Step-Up Telecom Bonds
by Patrick Houweling of Erasmus University,
Albert Mentink of Erasmus University & AEGON Asset Management, and
Ton Vorst of Erasmus University & ABN Amro
(935K PDF) -- 39 pages -- January 27, 2004 Modeling the Dynamics of Credit Spreads with Stochastic Volatility
by Kris Jacobs of McGill University, and
Xiaofei Li of York University
(565K PDF) -- 53 pages -- January 2004 Equity Volatility and Corporate Bond Yields
by John Y. Campbell of Harvard University, and
Glen B. Taksler of Harvard University
(438K PDF) -- 30 pages -- December 2003 Pricing the Risk of Default: Are Bonds Enough?
by Daniel Gomez of the University of Lausanne, and
Boris Nikolov of the University of Lausanne
(467K PDF) -- 71 pages -- October 19, 2003 Pricing and Hedging of Credit Risk: Replication and Mean-Variance Approaches
by Tomasz R. Bielecki of the Illinois Institute of Technology, and
Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of the Warsaw University of Technology
(299K PDF) -- 25 pages -- October 18, 2003 Term Structure Dynamics in Theory and Reality
by Qiang Dai of New York University, and
Kenneth Singleton of Stanford University
(384K PDF) -- 48 pages -- Fall 2003 Explaining Credit Spread Changes: New Evidence from Option-Adjusted Bond Indexes
by Jing-zhi Huang of New York University, and
Weipeng Kong of Pennsylvania State University
(154K PDF) -- 15 pages -- Fall 2003 Information Precision and the Term Structure of Credit Spreads: An Empirical Examination
by Inder K. Khurana of the University of Missouri,
Ali Nejadmaleyeri of the University of Nevada, Reno, and
Raynolde Pereira of the University of Missouri
(229K PDF) -- 27 pages -- September 6, 2003 Bond Pricing with Default Risk
by Jason C. Hsu of the University of California, Los Angeles,
Jesús Saá-Requejo of Banco Bilbao Vizcaya, and
Pedro Santa-Clara of the University of California, Los Angeles
(318K PDF) -- 57 pages -- September 2003 Structural Models of Corporate Bond Pricing: An empirical analysis
by Young Ho Eom of Yonsei University,
Jean Helwege of Ohio State University, and
Jing-zhi Huang of Pennsylvania State University
(319K PDF) -- 46 pages -- Summer 2004 The Impact of Collateralization on Swap Rates
by Michael Johannes of Columbia University, and
Suresh Sundaresan of Columbia University
(377K PDF) -- 49 pages -- May 29, 2003 How Much of the Corporate-Treasury Yield Spread is Due to Credit Risk?
by Jing-zhi Huang of Pennsylvania State University, and
Ming Huang of Stanford University
(418K PDF) -- 57 pages -- May 2003 A General Framework for Pricing Credit Risk
by Alain Bélanger of Scotia Capital,
Steven E. Shreve of Carnegie Mellon University, and
Dennis Wong of Bank of America Corporation
(313K PDF) -- 40 pages -- April 16, 2003 An Econometric Model of Credit Spreads with Rebalancing, ARCH and Jump Effects
by Herman Bierens of Pennsylvania State University, and
Jing-zhi Huang of Pennsylvania State University & New York University
(422K PDF) -- 42 pages -- April 8, 2003 Pricing Corporate Bonds with Dynamic Default Barriers
by Cho-Hoi Hui of the Hong Kong Monetary Authority,
Chi-Fai Lo of the Chinese University of Hong Kong, and
Shun-Wai Tsang of the Chinese University of Hong Kong
(202K PDF) -- 22 pages -- Spring 2003 Testing Merton's Model for Credit Spreads on Zero-Coupon Bonds
by Gordon Gemmill of the City University Business School
(83K PDF) -- 28 pages -- March 2003 The Valuation of Corporate Liabilities: Theory and Tests
by Jan Ericsson of McGill University, and
Joel Reneby of the Stockholm School of Economics
(698K PDF) -- 61 pages -- January 7, 2003 Valuing Corporate Liabilities When the Default Threshold is not an Absorbing Barrier
by Franck Moraux of the Université de Rennes
(343K PDF) -- 37 pages -- 2003 Which Factors Affect Corporate Bond Pricing? Evidence from Eurobonds Primary Market Spreads
by Andrea Sironi of Bocconi University, and
Giampaolo Gabbi of the Universita di Siena
(182K PDF) -- 48 pages -- September 2002 Fixed Income Pricing
by Qiang Dai of New York University, and
Kenneth Singleton of Stanford University
(455K PDF) -- 49 pages -- July 1, 2002 How Downward-Sloping are Demand Curves for Credit Risk?
by Yigal S. Newman of Stanford University, and
Michael A. Rierson of Stanford University
(642K PDF) -- 53 pages -- April 5, 2002 Is Default Event Risk Priced in Corporate Bonds?
by Joost Driessen of the University of Amsterdam
(275K PDF) -- 48 pages -- March 2002 The Components of Corporate Credit Spreads: Default, Recovery, Tax, Jumps, Liquidity, and Market Factors
by Gordon Delianedis of the University of California, Los Angeles, and
Robert Geske of the University of California, Los Angeles
(249K PDF) -- 40 pages -- December 2001 Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy
by Viral V. Acharya of the London Business School, and
Jennifer N. Carpenter of the New York University
(290K PDF) -- 45 pages -- October 9, 2001 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 The Dynamics of Corporate Credit Spreads
by Fred Joutz of George Washington University,
Sattar A. Mansi of Texas Tech University, and
William F. Maxwell of Texas Tech University
(147K PDF) -- 40 pages -- October 2001 Do Credit Spreads Reflect Stationary Leverage Ratios?
by Pierre Collin-Dufresne of Carnegie Mellon University, and
Robert S. Goldstein of Washington University, St. Louis
(605K PDF) -- 30 pages -- October 2001 Counterparty Risk and the Pricing of Defaultable Securities
by Robert A. Jarrow of Cornell University, and
Fan Yu of the University of California, Irvine
(628K PDF) -- 44 pages -- October 2001 The Joint Estimation of Term Structures and Credit Spreads
by Patrick Houweling of Rabobank Int'l & the University Rotterdam,
Jaap Hoek of Robeco Group,
Frank Kleibergen of Erasmus University Amsterdam
(387K PDF) -- 27 pages -- July 2001 Pricing and Hedging Options on Defaultable Assets
by Michel H. Vellekoop of the University of Twente,
Johan G.B. Beumee of Abbey National Treasury Services, and
Bianca Hilberink of the University of Twente
(237K PDF) -- 27 pages -- March 2001 An Empirical Investigation in Credit Spread Indices
by Jean-Luc Prigent of the Université de Cergy-Pontoise,
Olivier Renault of the London School of Economics, and
Olivier Scaillet of the Université Catholique de Louvain
(869K PDF) -- 36 pages -- February 2001 Explaining the Rate Spread on Corporate Bonds
by Edwin J. Elton of New York University,
Martin J. Gruber of New York University,
Deepak Agrawal of New York University, and
Christopher Mann of New York University
(224K PDF) -- 32 pages -- February 2001 A LIBOR Market Model with Default Risk
by Philipp J. Schönbucher of Bonn University
(254K PDF) -- 30 pages -- December 2000 Term Structures of Credit Spreads with Incomplete Accounting Information
by Darrell Duffie of Stanford University, and
David Lando of the University of Copenhagen,
(474K PDF) -- 32 pages -- May 2001 Factors Affecting the Yields on Noninvestment Grade Bond Indices: a cointegration analysis
by Theodore M. Barnhill, Jr. of George Washington University,
Frederick L. Joutz of George Washington University, and
William F. Maxwell of Texas Tech University
(213K PDF) -- 30 pages -- May 2000 Floating-Fixed Credit Spreads
by Darrell Duffie of Stanford University, and
Jun Liu of Stanford University
(265K PDF) -- 23 pages -- December 20, 1999 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 Convertible Bonds with Market Risk and Credit Risk
by Mark Davis of the Imperial College (London), and
Fabian R. Lischka of Tokyo-Mitsubishi International plc.
(249K PDF) - 16 pages - October 10, 1999 Modeling Term Structures of Defaultable Bonds
by Darrell Duffie of Stanford University, and
Kenneth J. Singleton of Stanford University & NBER
(413K PDF) -- 34 pages -- October 1999 Modelling European Credit Spreads
by Jan Annaert of the Erasmus University Rotterdam & University of Antwerp, and
Marc J.K. De Ceuster University of Antwerp - UFSIA
(425K PDF) -- 56 pages -- September 1999 A Model of Corporate Bond Prices with Dynamic Capital Structure
by Miikka Taurén of Indiana University
(569K PDF) -- 51 pages -- April 19, 1999 Estimating the price of default risk
by Gregory R. Duffee of the Federal Reserve Board of Governors
(284K PDF) -- 30 pages -- Spring 1999 A Comparison of Bond Pricing Models in the Pricing of Credit Risk
by Miikka Taurén of Indiana University
(473K PDF) -- 53 pages -- March 10, 1999 A Hidden Markov Chain Model for the Term Structure of Bond Credit Risk Spreads
by Lyn C. Thomas of the University of Edinburgh,
David E. Allen of Edith Cowan University, and
Nigel Morkel-Kingsbury of Edith Cowan University
(166K PDF) -- 28 pages -- March 1999 Swap Pricing with Two-Sided Default Risk in a Rating-Based Model
by Brian Huge of the University of Copenhagen, and
David Lando of the University of Copenhagen
(169K PDF) -- 30 pages -- January 1999 Valuation Models for Default-Risky Securities: An Overview
by Saikat Nandi of the Federal Reserve Bank of Atlanta
(199K PDF) -- 14 pages -- Q4 1998 Credit Spreads and Interest Rates: A Cointegration Approach
by Charles Morris of the Federal Reserve Bank of Kansas City,
Robert Neal of Indiana University, and
Doug Rolph of the University of Washington
(212K PDF) -- 47 pages -- December 1998 A Framework for Valuing Corporate Securities
by Jan Ericsson of the Catholic University of Louvain, and
Joel Reneby of the Stockholm School of Economics
(478K PDF) -- 25 pages -- October 1998 Defaultable Term Structure Models with Fractional Recovery of Par
by Darrell Duffie of Stanford University
(297K PDF) -- 27 pages -- August 18, 1998 The Valuation of Default Risk in Corporate Bonds and Interest Rate Swaps
by Soren S. Nielsen of the University of Texas at Austin, and
Ehud I. Ronn of the University of Texas at Austin
(261K PDF) -- 26 pages -- July 9, 1998 The Term Structure of Credit Risk: Estimates and Specification Tests
by Robert E. Cumby of Georgetown University, and
Martin D.D. Evans of Georgetown University
(298K PDF) -- 27 pages -- May 1997 Treasury yields and corporate bond yield spreads: An empirical analysis
by Gregory R. Duffee of the Federal Reserve Board of Governors
(519K PDF) -- 35 pages -- May 1996 Swap Rates and Credit Quality: Supplementary Results
by Darrell Duffie of Stanford University, and
Ming Huang of Stanford University
(354K PDF) -- 41 pages -- March 31, 1995 The Direct Approach to Debt Option Pricing
by Sven Rady of the London School of Economics, and
Klaus Sandmann of the Rheinische Friedrich-Wilhelms-Universität Bonn
(765K PDF) -- 29 pages -- March 22, 1995 Bond Prices, Yield Spreads, and Optimal Capital Structure with Default Risk
by Hayne Leland of the University of California, Berkeley
(3,608K PDF) -- 55 pages -- January 1995 Does Default Risk in Coupons Affect the Valuation of Corporate Bonds?: A contingent claims model
by Joon Kim of the Korean Advanced Institute of Science and Technology,
Krishna Ramaswamy of the University of Pennsylvania, and
Suresh Sundaresan of the Columbia University
(765K PDF) -- 29 pages -- Autumn 1993 | 
