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The impact of default risk insurer's financial distress on insured municipal bonds

Brune, Chris; Liu, Pu - In: Municipal finance journal : the state and local … 32 (2011) 3, pp. 19-36

Persistent link: https://www.econbiz.de/10009666165

Do credit rating agencies sacrifice timeliness by pursuing rating stability? : evidence from equity market reactions to CreditWatch events

Gu, Jenny; Jones, Jeffrey S.; Liu, Pu - In: Theoretical economics letters 4 (2014) 5, pp. 311-322

Persistent link: https://www.econbiz.de/10010422857

Did the repeated debt ceiling controversies embed default risk in US Treasury securities?

Liu, Pu; Shao, Yingying; Yeager, Timothy J. - In: Journal of banking & finance 33 (2009) 8, pp. 1464-1471

Persistent link: https://www.econbiz.de/10003855540

Evaluating corporate bonds with complicated liability structures and bond provisions

Wang, Chuan-Ju; Dai, Tian-Shyr; Lyuu, Yuh-Dauh - In: European Journal of Operational Research 237 (2014) 2, pp. 749-757

This paper presents a general and numerically accurate lattice methodology to price risky corporate bonds. It can handle complex default boundaries, discrete payments, various asset sales assumptions, and early redemption provisions for which closed-form solutions are unavailable. Furthermore,...

Persistent link: https://www.econbiz.de/10011097751

A stochastic-volatility equity-price tree for pricing convertible bonds with endogenous firm values and default risks determined by the first-passage default model

Dai, Tian-Shyr; Fan, Chen-Chiang; Liu, Liang-Chih; … - In: The journal of futures markets 42 (2022) 12, pp. 2103-2134

Persistent link: https://www.econbiz.de/10013465872

Evaluating corporate bonds with complicated liability structures and bond provisions

Wang, Chuan-ju; Dai, Tian-shyr; Lyuu, Yuh-dauh - In: European journal of operational research : EJOR 237 (2014) 2, pp. 749-757

Persistent link: https://www.econbiz.de/10010379934

A modified reduced-form model with time-varying default and recovery rates and its applications in pricing convertible bonds

Wang, Jr-Yan; Dai, Tian-Shyr - In: The journal of derivatives : the official publication … 24 (2017) 4, pp. 52-79

Persistent link: https://www.econbiz.de/10011687427

Evaluating corporate bonds and analyzing claim holders' decisions with complex debt structure

Liu, Liang-Chih; Dai, Tian-Shyr; Wang, Chuan-Ju - In: Journal of banking & finance 72 (2016), pp. 151-174

Persistent link: https://www.econbiz.de/10011635505

Realised tax benefits and capital structure

Dai, Tian-shyr; Wang, Chuan-ju - In: International journal of bonds and derivatives 1 (2013) 1, pp. 88-109

Persistent link: https://www.econbiz.de/10010338907

Analytical pricing formulae for vulnerable vanilla and barrier options

Liu, Liang-Chih; Chiu, Chun-Yuan; Wang, Chuan-Ju; Dai, … - In: Review of quantitative finance and accounting 58 (2022) 1, pp. 137-170

Persistent link: https://www.econbiz.de/10012796126