[BOOK][B] Corporate financial distress and bankruptcy
EI Altman, E Hotchkiss - 1993 - ndl.ethernet.edu.et
In looking back over the first two editions of Corporate Financial Distress and Bankruptcy
(1983 and 1993), we note that on both occasions of their publication the incidence and …
(1983 and 1993), we note that on both occasions of their publication the incidence and …
A Markov model for the term structure of credit risk spreads
RA Jarrow, D Lando, SM Turnbull - The review of financial …, 1997 - academic.oup.com
This article provides a Markov model for the term structure of credit risk spreads. The model
is based on, with the bankruptcy process following a discrete state space Markov chain in …
is based on, with the bankruptcy process following a discrete state space Markov chain in …
On Cox processes and credit risky securities
D Lando - Review of Derivatives research, 1998 - Springer
A framework is presented for modeling defaultable securities and credit derivatives which
allows for dependence between market risk factors and credit risk. The framework reduces …
allows for dependence between market risk factors and credit risk. The framework reduces …
Credit risk modeling
D Lando - Handbook of Financial Time Series, 2009 - Springer
The chapter gives a broad outline of the central themes of credit risk modeling starting with
the modeling of default probabilities, ratings and recovery. We present the two main …
the modeling of default probabilities, ratings and recovery. We present the two main …
A comparison of bond ratings from Moody's S&P and Fitch IBCA
J Jewell, M Livingston - Financial Markets, Institutions & …, 1999 - Wiley Online Library
Previous research has found that the bond market values the ratings of Moody's and
Standard & Poor's. This paper extends earlier research by comparing the ratings of Moody's …
Standard & Poor's. This paper extends earlier research by comparing the ratings of Moody's …
[BOOK][B] Three essays on contingent claims pricing
D Lando - 1994 - search.proquest.com
TTA /TT Dissertation U i V ll Information Service Page 1 INFORMATION TO USERS The
negative microfilm copy of this dissertation was prepared and inspected by the school granting …
negative microfilm copy of this dissertation was prepared and inspected by the school granting …
Revisiting the high-yield bond market
EI Altman - Financial Management, 1992 - JSTOR
The low-grade, high-yield corporate debt market is revisited after it has persevered through
a tumultuous 14-year (1978-1991) modern" junk" bond period. Empirical findings are …
a tumultuous 14-year (1978-1991) modern" junk" bond period. Empirical findings are …
信用评级在中国债券市场的影响力
何平， 金梦 - 金融研究, 2010 - cqvip.com
信用评级能够为市场提供风险信息从而增强市场对企业的约束, 因此对资本市场的健康发展起着
重要的作用. 在中国, 评级市场刚刚起步. 本文利用2007 至2009 年间发行的企业债数据 …
重要的作用. 在中国, 评级市场刚刚起步. 本文利用2007 至2009 年间发行的企业债数据 …
Are ratings consistent with default probabilities?: Empirical evidence on banks in emerging market economies
CJ Godlewski - Emerging Markets Finance and Trade, 2007 - Taylor & Francis
The role of agency ratings as a market-disciplining device, through the production of
information on default risk, should grow within Pillar 3 of the Basel II reform. For the role to …
information on default risk, should grow within Pillar 3 of the Basel II reform. For the role to …
[BOOK][B] Recovery ratios and survival times for corporate bonds
I Izvorski - 1997 - books.google.com
This paper analyzes the determinants of the recovery ratios and survival times (time until
default) for US corporate bonds. We show that seniority, the type of industry in which the firm …
default) for US corporate bonds. We show that seniority, the type of industry in which the firm …