Interactions between Market and Credit Risk: Modeling the Joint Dynamics of Default-free and Defaultable Bond Term Structures
How much of the corporate-treasury yield spread is due to credit risk?
Quadratic models for portfolio credit risk with shot-noise effects
Gaspar, Raquel M.,
Valuation of Sovereign Debt with Strategic Defaulting and Rescheduling
Valuation of sovereign debt with strategic defaulting and rescheduling