Downloaded Papers -- Default Risk

 

　

| Pricing | Recoveries | Models | Correlations | Testing | Cr. Derivatives | Liquidity | Quant. Methods |

　

( Please check DefaultRisk.com for details. )

 

(1)　Default and Information ( By Kay Giesecke of Cornell University )

 

(2)　Pricing Credit Risk as ParAsian Options with Stochastic Recovery Rate of Corporate Bonds
　　 ( By LingZhi Yu of the Manchester Business School )

 

(3)　A Simple Unified Model for Pricing Derivative Securities with Equity, Interest-rate, and Default Risk
　　 ( By Sanjiv R. Das of Santa Clara University, Rangarajan K. Sundaram of New York University, and Suresh M. Sundaresan of Columbia University )

 

(4)　Mispricing of Step-Up Bonds in the European Telecom Sector
　　 ( By David Lando of the Copenhagen Business School, and Allen Mortensen of the Copenhagen Business School )

 

(5)　Accounting Transparency and the Term Structure of Credit Spreads
　　 ( By Fan Yu of the University of California, Irvine )

 

(6)　Explaining Credit Spread Changes: Some New Evidence from Option-Adjusted Spreads of Bond Indices
　　 ( By Jing-zhi Huang of New York University, and Weipeng Kong of Penn State University)

 

(7)　Pricing Collateralized Swaps
　　 ( By Michael Johannes of Columbia University, and Suresh Sundaresan of Columbia University )

 

(8)　A Simple Model for Credit Migration and Spread Curves
　　 ( By Li Chen of Princeton University, and Damir Filipovi? of Princeton University )

 

(9)　How Much of the Corporate-Treasury Yield Spread is Due to Credit Risk?
　　 ( By Jing-zhi Huang of Pennsylvania State University, and Ming Huang of Stanford University )

 

(10)　Structural Models of Corporate Bond Pricing: An Empirical Analysis
　　 ( By Young Ho Eom of Yonsei University, Jean Helwege of Ohio State University, and Jing-zhi Huang of Penn State University )

 

(11)　An Econometric Model of Credit Spreads with Rebalancing, ARCH and Jump Effects
　　 ( By Herman Bierens of Penn State University, and Jing-zhi Huang of Penn State University and New York University )

 

(12)　Affine Model for Credit Risk Analysis
　　 ( By Christian Gourieroux of CREST and CEPREMAP and the University of Toronto, Alain Monfort of CNAM and CREST, and Vassilis Polimenis of the University of California )

 

(13)　Valuing Euro Rating-Triggered Step-Up Telecom Bonds
　　 ( By Patrick Eouweling of Erasmus University, Albert Mentink of Erasmus University and AEGON Asset Management, and Ton Vorst of Erasmus University and ABN Amro )

 

(14)　Valuing Corporate Liabilities When the Default Threshold is not an Absorbing Barrier
　　 ( By Franck Moraux of the Universite de Rennes )

 

(15)　The Valuation of Corporate Liabilities: Theory and Tests
　　 ( By Jan Ericsson of McGill University, and Joel Reneby of the Stockholm School of Economics )

 

(16)　A Theoretical Inspection of the Market Price for Default Risk
　　 ( By Nicole El Karoui of the Ecole Polytechnique, and Lionel Martellini of the University of Southern California )

 

(17)　On the Cross-sectional and Time-series Relation between Firm Characteristics and Corporate Bond Yield Spreads
　　 ( By Tao-Hsien Dolly King of the University of Wisconsin-Milwaukee, and Kenneth Khang of the University of Wisconsin-Milwaukee )

 

(18)　Fixed Income Pricing
　　 ( By Qiang Dai of New York University, and Kenneth Singleton of Stanford University )

 

(19)　On the Term Structure of Lending Interest Rates When a Fraction of Collateral is Recovered Upon Default
　　 ( By Masaaki Kijima of Kyoto University, and Yusuke Miyake of the Bank of Kyoto )

 

(20)　A Model for Pricing Stocks and Bonds with Default Risk
　　 ( By Harry Mamaysky of the Yale School of Management )

 

(21)　Which Factors Affect Corporate Bond Pricing? Evidence from Eurobonds Primary Market Spreads
　　 ( By Andrea Sironi of Bocconi University, and Giampaolo Gabbi of the Universita di Siena )

 

(22)　Equity Volatility and Corporate Bond Yields
　　 ( By John T. Campbell of Harvard University, and Glen B. Taksler of Harvard University )

 

(23)　How Downward-Sloping are Demand Curves for Corporate Bonds?
　　 ( By Yigal S. Newman of Stanford University, and Michael A. Rierson of Stanford University )

 

(24)　Term Structure Dynamics in Theory and Reality
　　 ( By Qiang Dai of New York University, and Kenneth Singleton of Stanford University )

 

(25)　Estimating Structural Bond Pricing Models
　　 ( By Jan Ericsson of McGill University, and Joel Reneby of the Stockholm School of Economics )

 

(26)　Testing Merton's Model for Credit Spreads on Zero-Coupon Bonds
　　 ( By Gordon Gemmill of the City University Business School )

 

(27)　Risk Disaggregation And Credit Risk Valuation In The Merton Like Way
　　 ( By Hayette Gatfaoui of the University Paris I - Pantheon-Sorbonne )

 

(28)　Is Default Event Risk Priced in Corporate Bonds?
　　 ( By Joost Driessen of the University of Amsterdam )

 

(29)　On Estimating the Relation Between Corporate Bond Yield Spreads and Treasury Yields
　　 ( By Gady Jacoby of the University of Manitoba )

 

(30)　The Components of Corporate Credit Spreads: Default, Recovery, Tax, Jumps, Liquidity, and Market Factors
　　 ( By Gordon Delianedis of UCLA, and Robert Geske of UCLA )

 

(31)　The Determinants of Credit Spread Changes
　　 ( By Pierre Collin-Dufresne of Carnegie Mellon University, Robert S. Goldstein of Washington University, and J. Spencer Martin of Arizona State University )

 

(32)　Default Hazards and the Term Structure of Credit Spreads in a Duopoly
　　 ( By Varqa Khadem of Oxford University, and William Perraudin of Birkbeck College, Bank of England and CEPR )

 

(33)　The Jarrow/Turnbull Default Risk Model: Evidence from the German Market
　　 ( By Manfred Fruhwirth of the Vienna University of Economics, and Leopold Sogner of the Vienna University of Economics )

 

(34)　Do Credit Spreads Reflect Stationary Leverage Ratios?
　　 ( By Pierre Collin-Dufresne of Carnegie Mellon University, and Robert S. Goldstein of Washington University, St. Louis )

 

(35)　The Dynamics of Corporate Credit Spreads
　　 ( By Fred Joutz of George Washington University, Sattar A. Mansi of Texas Tech University, and William F. Maxwell of Texas Tech University )

 

(36)　The Joint Estimation of Term Structures and Credit Spreads
　　 ( By Patrick Houweling of Rabobank Int'l and the University Rotterdam, Jaap Hoek of Robeco Group, Frank Kleibergen of Erasmus University Amsterdam )

 

(37)　An Empirical Investigation in Credit Spread Indices
　　 ( By Jean-Luc Prigent of the Universite de Cergy-Pontoise, Olivier Renault of the London School of Economics, and Olivier Scaillet of the Universite Catholique de Louvain )

 

(38)　Investigating the Sources of Default Risk: Lessons from Empirically Evaluating Credit Risk Models
　　 ( By Gurdip Bakshi of the University of Maryl and, Dilip Madan of the University of Maryland, and Frank Zhang of the Federal Reserve Board of Governors )

 

(39)　Explaining the Rate Spread on Corporate Bonds
　　 ( By Edwin J. Elton of New York University, Martin J. Gruber of New York University, Deepak Agrawal of New York University, and Christopher Mann of New York University )

 

(40)　A LIBOR Market Model with Default Risk
　　 ( By Philipp J. Schonbucher of Bonn University )

 

(41)　The Joint Estimation of Term Structures and Credit Spreads
　　 ( By Patrick Houweling of Rabobank Int'l and the University Rotterdam, Jaap Hoek of Robeco Group, Frank Kleibergen of Erasmus University Amsterdam )

 

(42)　The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads
　　 ( By Jun Liu of the University of California at Los Angeles, Francis A. Longstaff of the University of California at Los Angeles, and Ravit E. Mandell of Salomon Smith Barney )

 

(43)　Term Structures of Credit Spreads with Incomplete Accounting Information
　　 ( By Darrell Duffie of The Graduate School of Business, Stanford University, and David Lando of the Department of Operations Research of the University of Copenhagen )

 

(44)　On the Term Structure of Default Premia in the Swap and LIBOR Markets
　　 ( By Pierre Collin-Dufresne of the Carnegie-Mellon University, and Bruno Solnik of the Groupe HEC )

 

(45)　Factors Affecting the Yields on Noninvestment Grade Bond Indices: a cointegration analysis
　　 ( By Theodore M. Barnhill, Jr. of George Washington University, Frederick L. Joutz of George Washington University, and William F. Maxwell of Texas Tech University )

 

(46)　Pricing the Risks of Default
　　 ( By Dilip B. Madan of the University of Maryland )

 

(47)　Corporate Bonds: Valuation, Hedging, and Optimal Call and Default Policies
　　 ( By Viral V. Acharya and Jennifer N. Carpenter both of the New York University )

 

(48)　Swap Pricing with Two-Sided Default Risk in a Rating-Based Model
　　 ( By Brian Huge and David Lando Department of Operations Research, University of Copenhagen )

 

(49)　Floating-Fixed Credit Spreads
　　 ( By Darrell Duffie and Jun Liu Stanford University)

 

(50)　Default Premia on European Government Debt
　　 ( By Ingunn M. Lonning of the Norges Bank )

 

(51)　Default Risk in Asset Pricing
　　 ( By Pierre Mella-Barral of the London School of Economics, Pierre Tychon of Banque Generale du Luxembourg )

 

(52)　A Two-Factor Hazard-Rate Model for Pricing Risky Debt and the Term Structure of Credit Spreads
　　 ( By Dilip Madan of the University of Maryland, and Haluk Unal of the University of Maryland )

 

(53)　Convertible Bonds with Market Risk and Credit Risk
　　 ( By Mark Davis of the Imperial College (London), and Fabian R. Lischka of Tokyo-Mitsubishi International plc. )

 

(54)　Counterparty Risk and the Pricing of Defaultable Securities
　　 ( By Robert A. Jarrow of Cornell University, and Fan Yu of University of California at Irvine )

 

(55)　Modelling European Credit Spreads
　　 ( By Jan Annaert of the Erasmus University Rotterdam and University of Antwerp, and Marc J.K. De Ceuster University of Antwerp – UFSIA )

 

(56)　Characterizing Credit Spreads
　　 ( By Jeffrey R. Bohn of the University of California )

 

(57)　A Model of Corporate Bond Prices with Dynamic Capital Structure
　　 ( By Miikka Tauren of Indiana University )

 

(58)　A Hidden Markov Chain Model for the Term Structure of Bond Credit Risk Spreads
　　 ( By Lyn C. Thomas of the University of Edinburgh, David E. Allen of Edith Cowan University, and Nigel Morkel-Kingsbury of Edith Cowan University )

 

(59)　Bond Pricing with Default Risk
　　 ( By Jesus Saa-Requejo of Banco Bilbao Vizcaya, and Pedro Santa-Clara of the University of California, Los Angeles )

 

(60)　A Comparison of Bond Pricing Models in the Pricing of Credit Risk
　　 ( By Miikka Tauren a PhD candidate at Indiana University )

 

(61)　Modeling Term Structures of Defaultable Bonds
　　 ( By Darrell Duffie of Stanford University, and Kenneth J. Singleton of Stanford University and NBER )

 

(62)　Valuation Models for Default-Risky Securities: An Overview
　　 ( By Saikat Nandi of the Federal Reserve Bank of Atlanta )

 

(63)　Credit Spreads and Interest Rates: A Cointegration Approach
　　 ( By Charles Morris of the Federal Reserve Bank of Kansas City, Robert Neal of the Indiana University Kelley School of Business, Doug Rolph of the University of Washington School of Business )

 

(64)　A Framework for Valuing Corporate Securities
　　 ( By Jan Ericsson of the Catholic University of Louvain ,and Joel Reneby of the Stockholm School of Economics )

 

(65)　Defaultable Term Structure Models with Fractional Recovery of Par
　　 ( By Darrell Duffie of Stanford University )

 

(66)　The Term Structure of Credit Risk: Estimates and Specification Tests
　　 ( By Robert E. Cumby of Georgetown University, and Martin D.D. Evans of Georgetown University )

 

(67)　Estimating the price of default risk
　　 ( By Gregory R. Duffee of the Federal Reserve Board of Governors )

 

(68)　Treasury yields and corporate bond yield spreads: An empirical analysis
　　 ( By Gregory R. Duffee of the Federal Reserve Board of Governors )

 

(69)　The Valuation of Default Risk in Corporate Bonds and Interest Rate Swaps
　　 ( By Soren S. Nielsen of the University of Texas at Austin, and Ehud I. Ronn of the University of Texas at Austin )

 

(70)　Swap Rates and Credit Quality: Supplementary Results
　　 ( By Darrell Duffie and Ming Huang of the Graduate School of Business, Stanford University )

 

(71)　The Direct Approach to Debt Option Pricing
　　 ( By Sven Rady of the London School of Economics, and Klaus Sandmann of the Rheinische Friedrich-Wilhelms-Universitat Bonn )

 

(72)　Credit Valuation
　　 ( By Oldrich A. Vasicek of Moody's|KMV )