The components of corporate credit spreads: Default, recovery, tax, jumps, liquidity, and market factors

G Delianedis, R Geske - 2001 - escholarship.org
This paper analyzes the components of corporate credit spreads. The analysis is based on
a structural model that can offer a framework to understand the decomposition. The paper …

Credit risk and risk neutral default probabilities: information about rating migrations and defaults

G Delianedis, RL Geske - Available at SSRN 424301, 2003 - papers.ssrn.com
This paper is a study of the properties and uses of option based estimates of risk neutral
default probabilities (RNDP). We argue that because RNDP are the pricing probabilities, their …

The components of corporate credit spreads: Default, recovery, taxes, jumps, liquidity, and market factors

RL Geske, G Delianedis - 2001 - papers.ssrn.com
This paper analyzes the components of corporate credit spreads. The analysis is based on
a structural model that can offer a framework to understand the decomposition. The paper …

Recovery Assumptions in the Valuation of Credit Derivatives.

G Delianedis, R Lagnado - Journal of Fixed Income, 2002 - elibrary.ru
Examines the impact of recovery rate modeling on risk-neutral default probabilities and the
pricing of credit default swaps. Use of multiperiod reduced-form model; Expression for the …

[BOOK][B] Three essays in credit risk

G Delianedis - 2000 - search.proquest.com
This dissertation empirically investigates corporate default spreads and default probabilities
estimated from option models. The firm's securities are valued as contingent claims to the …

[CITATION][C] The components of corporate credit spreads

G Delianedis, R Geske - UCLA Finance Paper, 2001

[CITATION][C] The component of corporate credit spreads: Default

G Delianedis, R Geske - Recovery, Tax, Jumps, Liquidity, and Market Factors” …, 2001

[CITATION][C] Credit Risk and Neutral Default Probabilities: Information About Rating Migrations and Default

G Delianedis, R Geske - European Finance Association; Annual Conference, 2003

[CITATION][C] Monte Carlo simulation of non normal process

G Delianedis, R Lagnado, S Tikhonov - London, Midas-Kapiti International …, 2000

[CITATION][C] Credit risk and risk neutral default probabilities: Information about rating migrations and defaults

R Geske, G Delianedis - Manuscript in preparation. Anderson School of …, 1998