Access the full text.
Sign up today, get DeepDyve free for 14 days.
David Wei, Dajiang Guo (1997)
Pricing Risky Debt, 7
J. Ingersoll (1976)
A theoretical and empirical investigation of the dual purpose fundsJournal of Financial Economics, 3
Leland H.E. (1996)
10.1111/j.1540-6261.1996.tb02714.xJournal of Finance, 51
R. Jarrow, D. Lando, S. Turnbull (1997)
A Markov Model for the Term Structure of Credit Risk Spreads
Jean Helwege, Christopher Turner (1999)
The slope of the credit yield curve for speculative-grade issuersJournal of Finance, 54
Jones P.E. (1984)
10.1111/j.1540-6261.1984.tb03649.xJournal of Finance, 39
Leland H.E. (1994)
10.1111/j.1540-6261.1994.tb02452.xJournal ofFinance, 49
E. Altman, Kishore, M. Vellore (1996)
Almost Everything You Wanted to Know about Recoveries on Defaulted BondsFinancial Analysts Journal, 52
M. Blume, Donald Keim, Sandeep Patel (1991)
Returns and Volatility of Low-Grade Bonds 1977–1989Journal of Finance, 46
R. Geske, H. Johnson (1984)
The Valuation of Corporate Liabilities as Compound Options: A CorrectionJournal of Financial and Quantitative Analysis, 19
P. Holland, R. Welsch (1977)
Robust regression using iteratively reweighted least-squaresCommunications in Statistics-theory and Methods, 6
Sarig O. (1989)
10.1111/j.1540-6261.1989.tb02657.xJournal of Finance, 44
Chunsheng Zhou (1997)
A Jump-Diffusion Approach to Modeling Credit Risk and Valuing Defaultable SecuritiesDerivatives eJournal
Black F. (1976)
10.1111/j.1540-6261.1976.tb01891.xJournal ofFinance, 31
J. Bohn (2000)
A Survey of Contingent‐Claims Approaches to Risky Debt ValuationThe Journal of Risk Finance, 1
E. Fama, K. French (1989)
BUSINESS CONDITIONS AND EXPECTED RETURNS ON STOCKS AND BONDSJournal of Financial Economics, 25
Jerome Fons (1994)
Using Default Rates to Model the Term Structure of Credit RiskFinancial Analysts Journal, 50
S. Titman, W. Torous (1989)
Valuing Commercial Mortgages: An Empirical Investigation of the Contingent‐Claims Approach to Pricing Risky DebtJournal of Finance, 44
K. French, G. Schwert, R. Stambaugh (1987)
Expected stock returns and volatilityJournal of Financial Economics, 19
J. Ingersoll (1977)
AN EXAMINATION OF CORPORATE CALL POLICIES ON CONVERTIBLE SECURITIESJournal of Finance, 32
F. Black, Myron Scholes (1973)
The Pricing of Options and Corporate LiabilitiesJournal of Political Economy, 81
Longstaff F.A. (1995)
10.1111/j.1540-6261.1995.tb04037.xJournal ofFinance, 50
In this second installment, the author addresses some of the problems associated with empirically validating contingentclaim models for valuing risky debt. The article uses a simple contingent claims risky debt valuation model to fit term structures of credit spreads derived from data for U.S. corporate bonds. An essential component to fitting this model is the use of expected default frequency the estimate of the firms' expected default probability over a specific time horizon. The author discusses the statistical and econometric procedures used in fitting the term structure of credit spreads and estimating model parameters. These include iteratively reweighted nonlinear least squares are used to dampen the impact of outliers and ensure convergence in each crosssectional estimation from 1992 to 1999.
The Journal of Risk Finance – Emerald Publishing
Published: Mar 1, 2000
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.