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Credit risk and asymmetric information : a simplified approach

Lindset, Snorre; Lund, Arne-Christian; Persson, Svein-Arne - In: Journal of economic dynamics & control 39 (2014), pp. 98-112

Persistent link: https://www.econbiz.de/10010388826

Leverage choice and credit spreads when managers risk shift

Carlson, Murray; Lazrak, Ali - In: The journal of finance : the journal of the American … 65 (2010) 6, pp. 2323-2362

Persistent link: https://www.econbiz.de/10008778255

Corporate bond credit spreads and forecast dispersion

Güntay, Levent; Hackbarth, Dirk - In: Journal of banking & finance 34 (2010) 10, pp. 2328-2345

Persistent link: https://www.econbiz.de/10008857753

Modeling credit spreads with the Cheyette model and its application to credit default swaptions

Natcheva-Acar, Kalina; Acar, Sarp Kaya; Krekel, Martin - In: The journal of credit risk : published quarterly by … 5 (2009/10) 1, pp. 47-71

Persistent link: https://www.econbiz.de/10009518037

Option-based credit spreads

Culp, Christopher L.; Nozawa, Yoshio; Veronesi, Pietro - 2014

Persistent link: https://www.econbiz.de/10010465600

Option-based credit spreads

Culp, Christopher L.; Nozawa, Yoshio; Veronesi, Pietro - 2014

Persistent link: https://www.econbiz.de/10010468759

Endogenous liquidity and defaultable bonds

He, Zhiguo; Milbradt, Konstantin - In: Econometrica : journal of the Econometric Society, an … 82 (2014) 4, pp. 1443-1508

Persistent link: https://www.econbiz.de/10010506461

Financial regulation policy uncertainty and credit spreads in the US

Nodari, Gabriela - In: Journal of macroeconomics 41 (2014), pp. 122-132

Persistent link: https://www.econbiz.de/10010514753

Decomposition of country-specific corporate bond spreads

Dötz, Niko - 2014

This paper presents a new approach, based on the Merton model, to decomposing corporate bond spreads into the expected loss, bond risk premium and liquidity premium components. The approach focuses on establishing the bond risk premium using the equity risk premium and the hedge ratio, which are...

Persistent link: https://www.econbiz.de/10010458538

Essays in term structure and credit spread models

Fan, Rong - 2002

Persistent link: https://www.econbiz.de/10003776097

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