Chen, Cheng, Fabozzi and Liu [Chen, Ren-Raw, Cheng, Xiaolin, Fabozzi, Frank, Liu, Bo, 2008. An explicit, multi- factor credit default swap pricing model with correlated factors. J. Financial Quantitative Anal. 43 (1), 123-160] provide an explicit solution to the value of the credit default swap...

This study utilizes a multi-period structural model developed by Chen and Yeh (Pricing credit default swaps with the extended Geske–Johnson Model. Working paper, <CitationRef CitationID="CR10">2006</CitationRef>), which extends the Geske and Johnson (J Financ Quant Anal 19:231–232, <CitationRef CitationID="CR18">1984</CitationRef>) compound option model to evaluate the...</citationref></citationref>

The decentralized OTC market is extremely illiquid and opaque in comparison with the exchange-listed stock market. Although liquidity risk has been well documented in the finance literature, little is known about how liquidity risk affects the stocks traded in the decentralized OTC market. In...

This paper presents a flexible, lattice-based structural credit risk model that uses equity market information and a detailed depiction of a financial institution’s liability structure to analyze default risk. The model is applied to examine the term structure of default probabilities for...