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Maximum likelihood estimation for a multifactor equilibrium model of the term structure of interest rates

Chen, Ren-Raw - In: The journal of fixed income 3 (1993) 3, pp. 14-31

Persistent link: https://www.econbiz.de/10001157476

Multi-factor Cox-Ingersoll-Ross models of the term structure : estimates and tests from a Kalman filter model

Chen, Ren-Raw; Scott, Louis O. - In: The journal of real estate finance and economics 27 (2003) 2, pp. 143-172

Persistent link: https://www.econbiz.de/10001788887

A non-parametric option pricing model : theory and empirical evidence

Chen, Ren-Raw; Palmon, Oded - In: Review of quantitative finance and accounting 24 (2005) 2, pp. 115-134

Persistent link: https://www.econbiz.de/10002851785

Tests of the performance of structural models in bankruptcy prediction

Fabozzi, Frank J.; Chen, Ren-Raw; Hu, Shing-yang; Pan, … - In: The journal of credit risk : published quarterly by … 6 (2010/11) 2, pp. 37-78

Persistent link: https://www.econbiz.de/10008647001

Sources of credit risk : evidence from credit default swaps

Chen, Ren-Raw; Fabozzi, Frank J.; Pan, Ging-Ging; … - In: The journal of fixed income 16 (2006) 3, pp. 7-21

Persistent link: https://www.econbiz.de/10003422016

Valuing financial assets with liquidity discount : an implication to Basel III

Chen, Ren-Raw; Filonuk, William; Patro, Dilip Kumar; Yan, An - In: Proceedings of the Second International Conference on …, (pp. 37-46). 2014

Persistent link: https://www.econbiz.de/10011388044

C.D.S.-Implied Risk of U.S. Delinquency : Implications for the U.S. Debt Ceiling

Chen, Ren-Raw; Finnerty, John D.; Kamdem, Bruno - 2021

In this paper, we use a structural credit risk model developed by Geske (1977) and generalized by Chen et al. (2014) to assess the delinquency risk of U.S. Treasury debt implied by U.S. sovereign CDS spreads. We also use the fitted structural model to determine the implied debt ceiling for the...

Persistent link: https://www.econbiz.de/10013211319

The valuation of American barrier options using the decomposition technique

Gao, Bin; Huang, Jing-Zhi; Subrahmanyam, Marti G. - In: Journal of economic dynamics & control 24 (2000) 11/12, pp. 1783-1827

Persistent link: https://www.econbiz.de/10001508774

Structural models of corporate bond pricing : an empirical analysis

Eom, Young Ho (contributor); Helwege, Jean (contributor); … - 2000 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001522524

Structural models of corporate bond pricing : an empirical analysis

Eom, Young Ho (contributor); Helwege, Jean (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001786259