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Modeling credit risk with partial information. (2004). Jarrow, Robert ; Protter, P. ; Yildirim, Y. ; Cetin, Umut .
In: LSE Research Online Documents on Economics.
RePEc:ehl:lserod:2840.

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  1. Incomplete information model of credit default of micro and small enterprises. (2023). Wang, Suyang ; Chen, Tingqiang.
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  2. Optional projection under equivalent local martingale measures. (2023). Perkkio, Ari-Pekka ; Mazzon, Andrea ; Biagini, Francesca.
    In: Finance and Stochastics.
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  3. An empirical evaluation of alternative fundamental models of credit spreads. (2022). Headley, Adrian ; Murphy, Austin.
    In: International Review of Financial Analysis.
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  4. Designing bankers pay: Using contingent capital to reduce risk-shifting. (2021). Raviv, Alon ; Peleg-Lazar, Sharon ; Hilscher, Jens.
    In: MPRA Paper.
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  5. Defaultable term structures driven by semimartingales. (2021). Schmidt, Thorsten ; Gumbel, Sandrine.
    In: Papers.
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  6. Effects of declining bank health on borrowers’ earnings quality: evidence from the European sovereign debt crisis. (2020). Zick, Theresa ; Kiy, Florian.
    In: Journal of Business Economics.
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  7. Optional projection under equivalent local martingale measures. (2020). Perkkio, Ari-Pekka ; Mazzon, Andrea ; Biagini, Francesca.
    In: Papers.
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  8. A hybrid information approach to predict corporate credit risk. (2018). Kelly, Simone ; Bu, DI ; Zhou, Qing ; Liao, Yin.
    In: Journal of Futures Markets.
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  9. CMBS market efficiency: The crisis and the recovery. (2018). Jarrow, Robert ; Christopoulos, Andreas D.
    In: Journal of Financial Stability.
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  10. The composition of CMBS risk. (2017). Christopoulos, Andreas D.
    In: Journal of Banking & Finance.
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  11. A mathematical model for multi-name credit based on community flocking. (2015). Ha, Seung-Yeal ; Lee, Kiseop ; Kim, Kyoung-Kuk.
    In: Quantitative Finance.
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  12. Intensity process for a pure jump Lévy structural model with incomplete information. (2015). Zheng, Harry ; Dong, Xin.
    In: Stochastic Processes and their Applications.
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  13. Contagion effect on bond portfolio risk measures in a hybrid credit risk model. (2014). Gauthier, Genevieve ; Thomassin, Tommy ; Boudreault, Mathieu.
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  14. Bank stability and market discipline: The effect of contingent capital on risk taking and default probability. (2014). Raviv, Alon ; Hilscher, Jens.
    In: Journal of Corporate Finance.
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  15. Bank stability and market discipline: The effect of contingent capital on risk taking and default probability. (2014). Raviv, Alon ; Hilscher, Jens.
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  16. Do Declines in Bank Health Affect Borrowers’ Voluntary Disclosures? Evidence from International Propagation of Banking Shocks. (2014). LO, ALVIS K..
    In: Journal of Accounting Research.
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  17. Intensity Process for a Pure Jump L\evy Structural Model with Incomplete Information. (2014). Zheng, Harry ; Dong, Xin.
    In: Papers.
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  18. Information efficiency of the U.S. credit default swap market: Evidence from earnings surprises. (2013). Zhang, Gaiyan.
    In: Journal of Financial Stability.
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  19. Credit Risk with asymmetric information on the default threshold. (2012). Hillairet, Caroline ; Jiao, Ying.
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  20. On absolutely continuous compensators and nonlinear filtering equations in default risk models. (2012). Etin, Umut.
    In: Stochastic Processes and their Applications.
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  21. On absolutely continuous compensators and nonlinear filtering equations in default risk models. (2012). Ccetin, Umut .
    In: Papers.
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  22. Credit contagion and risk management with multiple non-ordered defaults. (2011). Larsson, Martin ; Kchia, Younes .
    In: Papers.
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  23. Information Asymmetry in Pricing of Credit Derivatives. (2010). Hillairet, Caroline ; Jiao, Ying.
    In: Working Papers.
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  24. Reduced-form valuation of callable corporate bonds: Theory and evidence. (2010). LI, HAITAO ; Jarrow, Robert ; Wu, Chunchi ; Liu, Sheen.
    In: Journal of Financial Economics.
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  25. From the decompositions of a stopping time to risk premium decompositions. (2010). Coculescu, Delia .
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  26. Credit Risk Models with Incomplete Information. (2009). Jarrow, Robert ; Zeng, Yan ; Guo, Xin.
    In: Mathematics of Operations Research.
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  27. Recent Advances in Credit Risk Modeling. (2009). Capuano, Christian ; Souto, Marcos R ; Medeiros, Carlos I ; Chan-Lau, Jorge A ; Santos, Andre O ; Gasha, Jose Giancarlo.
    In: IMF Working Papers.
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  28. Large portfolio losses: A dynamic contagion model. (2009). tolotti, marco ; Sartori, Elena ; Runggaldier, Wolfgang J. ; Pra, Paolo Dai .
    In: Papers.
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  29. Modeling loan commitments. (2008). Jarrow, Robert ; Chava, Sudheer.
    In: Finance Research Letters.
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  30. Commercial Mortgage-Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information. (2008). Jarrow, Robert ; Christopoulos, Andreas D. ; Yildirim, Yildiray.
    In: Real Estate Economics.
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  31. Strategic Default Jump as Impulse Control in Continuous Time. (2007). Nakamura, Hisashi .
    In: CIRJE F-Series.
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  32. An explicit solution to the Skorokhod embedding problem for functionals of excursions of Markov processes. (2007). Obloj, Jan.
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  33. Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling. (2007). Campi, Luciano ; Cetin, Umut .
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  34. Strategic Default Jump as Impulse Control in Continuous Time ( Revised in February 2008 ). (2007). Nakamura, Hisashi .
    In: CARF F-Series.
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  35. Modeling default risk: A new structural approach. (2006). Yildirim, Yildiray.
    In: Finance Research Letters.
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  36. Accounting transparency and the term structure of credit spreads. (2005). Yu, Fan.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:75:y:2005:i:1:p:53-84.

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  37. Portfolio Insurance Strategies by a Large Player. (2004). Kalife, Aymeric .
    In: Economics Papers from University Paris Dauphine.
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References

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    RePEc:dpr:wpaper:0616.

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  51. Modelling the Evolution of Credit Spreads in the United States. (2004). Yang, Jun ; Turnbull, Stuart M..
    In: Staff Working Papers.
    RePEc:bca:bocawp:04-45.

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  52. Optimal Capital Structure and Industry Dynamics. (2003). Miao, Jianjun.
    In: Industrial Organization.
    RePEc:wpa:wuwpio:0310001.

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  53. Credit Risk Modeling and the Term Structure of Credit Spreads. (2003). Chen, Li.
    In: Finance.
    RePEc:wpa:wuwpfi:0312009.

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  54. A Simple Model for Credit Migration and Spread Curves. (2003). Chen, Li.
    In: Finance.
    RePEc:wpa:wuwpfi:0305003.

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  55. Bankruptcy Risk and Productive Efficiency in Manufacturing Firms. (2003). Becchetti, Leonardo.
    In: CEIS Research Paper.
    RePEc:rtv:ceisrp:30.

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  56. Market Pricing of Deposit Insurance. (2003). Purnanandam, Amiyatosh ; Jarrow, Robert ; Duffie, Darrell ; Yang, Wei.
    In: Journal of Financial Services Research.
    RePEc:kap:jfsres:v:24:y:2003:i:2:p:93-119.

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  57. A partial introduction to financial asset pricing theory. (2001). Protter, Philip.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:91:y:2001:i:2:p:169-203.

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  58. Dimensions of Credit Risk and Their Relationship to Economic Capital Requirements. (2000). Carey, Mark.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7629.

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  59. Weak Convergence of Hedging Strategies of Contingent Claims. (2000). Scaillet, Olivier ; Prigent, Jean-Luc.
    In: THEMA Working Papers.
    RePEc:ema:worpap:2000-50.

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  60. Agency Costs, Risk Management, and Capital Structure.. (1998). Leland, Hayne.
    In: Research Program in Finance Working Papers.
    RePEc:ucb:calbrf:rpf-278.

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