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Systematic equity-based credit risk: A CEV model with jump to default. (2009). Sbuelz, Alessandro ; Polbennikov, Simon ; Campi, Luciano .
In: Journal of Economic Dynamics and Control.
RePEc:eee:dyncon:v:33:y:2009:i:1:p:93-108.

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  1. Credit ratings, financial ratios, and equity risk: A decomposition analysis based on Moody’s, Standard & Poor’s and Fitch’s ratings. (2022). Jiang, Yixiao.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321004815.

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  2. Credit Default Swaps and the mixed-fractional CEV model. (2022). Araneda, Axel A.
    In: Papers.
    RePEc:arx:papers:2211.07564.

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  3. A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies. (2020). Fantazzini, Dean ; Zimin, Stephan.
    In: Economia e Politica Industriale: Journal of Industrial and Business Economics.
    RePEc:spr:epolin:v:47:y:2020:i:1:d:10.1007_s40812-019-00136-8.

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  4. A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies. (2019). Fantazzini, Dean ; Zimin, Stephan.
    In: MPRA Paper.
    RePEc:pra:mprapa:95988.

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  5. General dynamic term structures under default risk. (2018). Fontana, Claudio ; Schmidt, Thorsten.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:128:y:2018:i:10:p:3353-3386.

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  6. Shapes of implied volatility with positive mass at zero. (2017). Jacquier, Antoine ; Hillairet, Caroline ; de Marco, Stefano.
    In: Working Papers.
    RePEc:crs:wpaper:2017-77.

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  7. Information uncertainty related to marked random times and optimal investment. (2017). Jiao, Ying ; Kharroubi, Idris .
    In: Papers.
    RePEc:arx:papers:1607.02743.

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  8. Shapes of implied volatility with positive mass at zero. (2017). Jacquier, Antoine ; de Marco, Stefano ; Hillairet, Caroline.
    In: Papers.
    RePEc:arx:papers:1310.1020.

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  9. PRICING CDSS AND CDS OPTIONS UNDER A REGIME-SWITCHING CEV PROCESS WITH JUMP TO DEFAULT. (2016). Xu, Ruxing ; Yi, Ronghua ; Wu, Dan.
    In: ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH.
    RePEc:cys:ecocyb:v:50:y:2016:i:1:p:253-271.

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  10. Pricing and static hedging of American-style knock-in options on defaultable stocks. (2015). Vidal, Joo Pedro ; Dias, Jose Carlos ; Ruas, Joo Pedro .
    In: Journal of Banking & Finance.
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  11. Rehypothecation dilemma: Impact of collateral rehypothecation on derivative prices under bilateral counterparty credit risk. (2014). Uchida, Yoshihiko ; Sakurai, Yuji .
    In: Journal of Banking & Finance.
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  12. The role of non-convex costs in firms investment and financial dynamics. (2013). Bazdresch, Santiago.
    In: Journal of Economic Dynamics and Control.
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  13. A unified approach to pricing and risk management of equity and credit risk. (2013). Fontana, Claudio ; Juan Miguel A. Montes, .
    In: Papers.
    RePEc:arx:papers:1212.5395.

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  14. Pricing VXX option with default risk and positive volatility skew. (2012). Gong, Donggeng ; Li, Shenghong ; Bao, Qunfang.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:223:y:2012:i:1:p:246-255.

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  15. Pricing equity default swaps under the jump-to-default extended CEV model. (2011). Linetsky, Vadim ; Mendoza-Arriaga, Rafael .
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:15:y:2011:i:3:p:513-540.

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  16. Premia for correlated default risk. (2011). Kim, Baeho ; Azizpour, Shahriar ; Giesecke, Kay .
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:35:y:2011:i:8:p:1340-1357.

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  17. Enactment of Default Point in KMV Model on CMBC, SPDB, CMB, Huaxia Bank and SDB. (2010). Huang, Feixue ; He, Yan.
    In: International Journal of Financial Research.
    RePEc:jfr:ijfr11:v:1:y:2010:i:1:p:30-36.

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  33. Underinvestment, capital structure and strategic debt restructuring. (2010). Pawlina, Grzegorz .
    In: Journal of Corporate Finance.
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  34. Mortgage timing. (2009). Van Nieuwerburgh, Stijn ; koijen, ralph ; Koijen,Ralph S. J., ; Van Hemert, Otto ; Koijen, Ralph S. J., .
    In: Journal of Financial Economics.
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  35. The effects of default and call risk on bond duration. (2009). Anderson, Bing ; Xie, Yan Alice ; Liu, Sheen ; Wu, Chunchi.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:33:y:2009:i:9:p:1700-1708.

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  36. Systematic equity-based credit risk: A CEV model with jump to default. (2009). Sbuelz, Alessandro ; Polbennikov, Simon ; Campi, Luciano .
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:33:y:2009:i:1:p:93-108.

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  37. Make-whole call provisions: A case of much ado about nothing?. (2008). Stock, Duane ; Nayar, Nandkumar .
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:14:y:2008:i:4:p:387-404.

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  38. What Is the Cost of Financial Flexibility? Theory and Evidence for Make-Whole Call Provisions. (2008). Powers, Eric ; Tsyplakov, Sergey .
    In: Financial Management.
    RePEc:bla:finmgt:v:37:y:2008:i:3:p:485-512.

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  39. An empirical study of corporate bond pricing with unobserved capital structure dynamics.. (2007). Maclachlan, Iain C.
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  40. On forecasting the term structure of credit spreads. (2007). Thomson, James ; C. N. V. Krishnan, ; Ritchken, Peter H..
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  41. Bond durations: Corporates vs. Treasuries. (2007). Munk, Claus ; Kraft, Holger.
    In: Journal of Banking & Finance.
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  42. The Derivatives Sourcebook. (2006). Scholes, Myron ; merton, robert ; Lo, Andrew ; Lim, Terence.
    In: Foundations and Trends(R) in Finance.
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  43. CREDIT RISK MODELS II: STRUCTURAL MODELS. (2006). Elizalde, Abel.
    In: Working Papers.
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  44. Assessing Credit with Equity: A CEV Model with Jump to Default. (2005). Campi, Luciano ; Polbennikov, Simon ; Sbuelz, .
    In: Working Papers.
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  45. Credit risk modeling with affine processes. (2005). Duffie, Darrell.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:29:y:2005:i:11:p:2751-2802.

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  46. Incorporating Systemic Influences Into Risk Measurements: A Survey of the Literature. (2004). Allen, Linda ; Saunders, Anthony.
    In: Journal of Financial Services Research.
    RePEc:kap:jfsres:v:26:y:2004:i:2:p:161-191.

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  47. Firm and Corporate Bond Valuation: A Simulation Dynamic Programming Approach. (2004). Castillo, Augusto .
    In: Latin American Journal of Economics-formerly Cuadernos de Economía.
    RePEc:ioe:cuadec:v:41:y:2004:i:124:p:345-360.

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  48. Effective duration of callable corporate bonds: Theory and evidence. (2004). Hong, Gwangheon ; Sarkar, Sudipto.
    In: Journal of Banking & Finance.
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  49. Structural RFV : Recovery Form and Defaultable Debt Analysis. (2003). Sbuelz, A ; Guha, R.
    In: Other publications TiSEM.
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  50. Structural RFV : Recovery Form and Defaultable Debt Analysis. (2003). Sbuelz, A. ; Guha, R..
    In: Discussion Paper.
    RePEc:tiu:tiucen:841ad1ef-22f2-4ea8-b19b-507952001550.

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