We present a new framework for the joint estimation of the default-free government term structure and corporate credit spread curves. By using a data set of liquid, German mark denominated bonds, we show that this yields more realistic spreads than traditionally obtained spread curves that...

We present a new framework for the joint estimation of the default-free government term structure and corporate credit spread curves. By using a data set of liquid, German mark denominated bonds, we show that this yields more realistic spreads than traditionally obtained spread curves that...

The purpose of this paper is to show how institutional and evolutionary economics provide better insights as to why some firms survive and others do not than does neoclassical economics. At the heart of the evolutionary theory is the view that new firms are a manifestation of diversity and that...

The purpose of this paper is to show how institutional and evolutionary economics provide better insights as to whysome firms survive and others do not than does neoclassical economics. At the heart of the evolutionary theory isthe view that new firms are a manifestation of diversity and that...

We consider eight different measures (issued amount, coupon, listed, age, missingprices, price volatility, number of contributors and yield dispersion) to approximate corporatebond liquidity and use a five-variable model to control for maturity, credit and currencydifferences between bonds. The...

Recent studies show that the likelihood of survival differs significantly across firms. Both firm and industry characteristics are hypothesized to account for this heterogenity. Using a longitudinal database of manufacturing firms we investigate whether firm or industry characteristics dominate....

We value rating-triggered step-up bonds with three methods: (i) the Jarrow, Lando and

In this paper we compare market prices of credit default swaps with model prices. We show

We consider eight different measures (issued amount, coupon, listed, age, missing

Recent studies show that the likelihood of survival differs significantly across firms. Both firm and industry characteristics are hypothesized to account for this heterogenity. Using a longitudinal database of manufacturing firms we investigate whether firm or industry characteristics dominate....