91
Views
5
CrossRef citations to date
0
Altmetric
Special Issue Paper

Bayesian corporate bond pricing and credit default swap premium models for deriving default probabilities and recovery rates

Pages 454-465 | Received 20 Jan 2012, Accepted 14 Jan 2013, Published online: 21 Dec 2017

References

  • AndoTBayesian predictive information criterion for the evaluation of hierarchical Bayesian and empirical Bayes modelsBiometrika200794244345810.1093/biomet/asm017
  • AndoTBayesian Model Selection and Statistical Modeling2010
  • AndoTPredictive Bayesian model selectionAmerican Journal of Mathematical and Management Sciences20123111338
  • AndoTTsayRPredictive likelihood for Bayesian model selection and averagingInternational Journal of Forecasting201026474476310.1016/j.ijforecast.2009.08.001
  • ChernozhukovVHongHA MCMC approach to classical estimationJournal of Econometrics2003115229334610.1016/S0304-4076(03)00100-3
  • CoxDROakesDAnalysis of Survival Data1984
  • de BoorCA Practical Guide to Splines1978
  • DuffieDSingletonKJModeling term structures of defaultable bondsReview of Financial Studies199912468772010.1093/rfs/12.4.687
  • DuffieDPanJSingletonKJTransform analysis and asset pricing for affine jump diffusionsEconometrica20006861343137610.1111/1468-0262.00164
  • EilersPHCMarxBDFlexible smoothing with B-splines and penalties (with discussion)Statistical Science19961128912110.1214/ss/1038425655
  • GreenPJSilvermanBWNonparametric Regression and Generalized Linear Models1994
  • HansenLPLarge sample properties of generalized method of moments estimatorsEconometrica19825041029105410.2307/1912775
  • HansenLPHeatonJYaronAFinite-sample properties of some alternative GMM estimatorsJournal of Business and Economic Statistics1996143262280
  • HongHPrestonBBayesian averaging, prediction and nonnested model selectionJournal of Econometrics2012167235836910.1016/j.jeconom.2011.09.021
  • JagannathanRSkoulakisGWangZGeneralized methods of moments: Applications in financeJournal of Business and Economic Statistics200220447048110.1198/073500102288618612
  • JarrowRDefault parameter estimation using market pricesFinancial Analysts Journal2001575759210.2469/faj.v57.n5.2483
  • JarrowRATurnbullSMPricing derivatives on financial securities subject to credit riskJournal of Finance1995501538510.1111/j.1540-6261.1995.tb05167.x
  • Kariya T (2011). A CB (corporate bond) pricing model for deriving default probabilities and recovery rates. Working paper, Kyoto University.
  • KariyaTTsudaHPrediction of individual bond prices via the TDM modelModelling and Prediction1996350363
  • KariyaTTsudaHCB-time dependent markov model for pricing convertible bondsAsia-Pacific Financial Markets200073608410.1023/A:1010000816071
  • KassRERafteryABayes factorsJournal of the American Statistical Association19959043077379510.1080/01621459.1995.10476572
  • KijimaMMuromachiYCredit events and the valuation of credit derivatives of basket typeReview of Derivatives Research2000415377
  • KijimaMMuromachiYEvaluation of credit risk of a portfolio with stochastic interest rate and default processesJournal of Risk20003153610.21314/JOR.2000.037
  • KitamuraYStutzerMAn information-theoretic alternative to generalized method of moments estimationEconometrica199765486187410.2307/2171942
  • KonishiSAndoTImotoSBayesian information criteria and smoothing parameter selection in radial basis function networksBiometrika2004911274310.1093/biomet/91.1.27
  • KusuokaSA remark on default risk modelsAdvances in Mathematical Economics199911698210.1007/978-4-431-65895-5_5
  • MertonRCOn the pricing of corporate debt: The risk structure of interest ratesJournal of Finance1974292449470
  • McCullochJHMeasuring the term structure of interest ratesJournal of Finance19712611931
  • McCullochJHThe tax-adjusted yield curveJournal of Finance197530381183010.1111/j.1540-6261.1975.tb01852.x
  • NeweyWKSmithRJHigher order properties of GMM and generalized empirical likelihood estimatorsEconometrica200472121925510.1111/j.1468-0262.2004.00482.x
  • PakesAPollardDSimulation and the asymptotics of optimization estimatorsEconometrica19895751027105710.2307/1913622
  • RobinsonPMAsymptotically efficient estimation in the presence of heteroskedasticity of unknown formEconometrica198755487589110.2307/1911033
  • SchaeferSMMeasuring a tax-specific term structure of interest rates in the market for British government securitiesThe Economic Journal19819136241543810.2307/2232594
  • SinCYWhiteHInformation criteria for selecting possibly misspecified parametric modelsJournal of Econometrics1996711–220722510.1016/0304-4076(94)01701-8
  • SpiegelhalterDJBestNGCarlinBPvan der LindeABayesian measures of model complexity and fit (with discussion)Journal of Royal Statistical Society Series B200264458363910.1111/1467-9868.00353
  • SteelyJMEstimating the gilt-edged term structure: Basis splines and confidence intervalsJournal of Business, Finance and Accounting1991184512529
  • TierneyLKadaneJBAccurate approximations for posterior moments and marginal densitiesJournal of the American Statistical Association198681393828610.1080/01621459.1986.10478240
  • UnalHMadanDGuntayLPricing the risk of recovery in default with absolute priority rule violationJournal of Banking and Finance20032561001102510.1016/S0378-4266(02)00255-8
  • VasicekOAFongHGTerm structure modeling using exponential splinesJournal of Finance198237233935610.1111/j.1540-6261.1982.tb03555.x

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.