Empirical Evaluation of Hybrid Defaultable Bond Pricing Models

References

• Akaike , H. 1974 . A new look at the statistical model identification . IEEE Transactions on Automatic Control , 19 (6) : 716 – 723 .
   Web of Science ®Google Scholar
• Bakshi , G. , Madan , D. and Zhang , F. 2006 . Investigating the role of systematic and firm‐specific factors in default risk: Lessons from empirically evaluating credit risk . Journal of Business , 79 : 1955 – 1987 .
   Google Scholar
• Black , F. and Cox , J. 1976 . Valuing corporate securities: Some effects of bond indenture provisions . Journal of Finance , 31 : 351 – 367 .
   Web of Science ®Google Scholar
• Briys , E. and de Varenne , F. 1997 . Valuing risky fixed rate debt: An extension . Journal of Financial and Quantitative Analysis , 32 (2) : 239 – 248 .
   Google Scholar
• Cathcart , L. and El‐Jahel , L. 1998 . Valuation of defaultable bonds . The Journal of Fixed Income , 8 (June) : 65 – 78 .
   Google Scholar
• Davydov , D. , Linetsky , V. and Lotz , C. 1999 . The hazard‐rate approach to pricing risky debt: Two analytically tractable examples University of Michigan and University of Bonn. Working Paper
   Google Scholar
• Duellmann , K. and Windfuhr , M. 2000 . Credit spreads between German and Italian Sovereign bonds – do affine models work? . Canadian Journal of Administrative Sciences , 17 : 166 – 181 .
   Google Scholar
• Duffee , G. 1999 . Estimating the price of default risk . Review of Financial Studies , 12 : 197 – 226 .
   Web of Science ®Google Scholar
• Duffee , G. R. 1998 . Can affine term structure models explain the average behavior of treasury yields? Federal Reserve Board, Washington. Working Paper
   Google Scholar
• Duffie , D. and Singleton , K. J. 1999 . Modeling term structures of defaultable bonds . Review of Financial Studies , 12 : 687 – 720 .
   Web of Science ®Google Scholar
• Duffie , D. and Singleton , K. J. 2003 . Credit Risk: Pricing, Measurement, and Management , Princeton, NJ : Princeton University Press . Princeton Series in Finance
   Google Scholar
• Eom , Y. , Helwege , J. and Huang , J. 2004 . Structural models of corporate bond pricing: An empirical analysis . Review of Financial Studies , 17 : 499 – 544 .
   Web of Science ®Google Scholar
• Geske , R. 1977 . The valuation of corporate liabilities as compound options . Journal of Financial and Quantitative Analysis , 19 (2) : 541 – 552 .
   Google Scholar
• Harvey , A. C. 1981 . The Econometric Analysis of Time Series , Abingdon : Philip Allan Publishers Limited .
   Google Scholar
• Helwege , J. and Turner , C. 1999 . The slope of the credit yield curve for speculative grade issuers . Journal of Finance , 54 : 1869 – 1885 .
   Web of Science ®Google Scholar
• Huang , J. and Huang , M. 2003 . How much of the corporate‐treasury yield spread is due to credit risk?: A new calibration approach Pennsylvania State University. Working Paper
   Google Scholar
• Hull , J. and White , A. 1990 . Pricing interest‐rate‐derivative securities . The Review of Financial Studies , 3 (4) : 573 – 592 .
   Web of Science ®Google Scholar
• Hull , J. and White , A. 1994 . Numerical procedures for implementing term structure models II: Two‐factor models . The Journal of Derivatives , 2 (2) : 37 – 48 .
   Google Scholar
• Jarque , C. M. and Bera , A. K. 1987 . A test for normality of observations and regression residuals . International Statistical Review , 55 (5) : 163 – 172 .
   Google Scholar
• Jarrow , R. A. and Protter , P. 2004 . Structural versus reduced form models: A new information based perspective . Journal of Investment Management , 2 (2) : 1 – 10 .
   Google Scholar
• Jarrow , R. , Deventer , D. and Wang , X. 2003 . A robust test of Merton’s structural model for credit risk . Journal of Risk , 6 (1) : 39 – 58 .
   Google Scholar
• Jarrow , R. and Turnbull , S. 1992 . Credit risk: Drawing the analogy . Risk Magazine , 5 (9) : 63 – 70 .
   Google Scholar
• Jarrow , R. and Turnbull , S. 1995 . Pricing options on financial securities subject to default risk . Journal of Finance , 50 : 53 – 86 .
   Web of Science ®Google Scholar
• Jarrow , R. and Yildirim , Y. 2002 . Valuing default swaps under market and credit risk correlation . Journal of Fixed Income , 11 : 7 – 19 .
   Google Scholar
• Kim , J. , Ramaswamy , K. and Sundaresan , S. 1993 . Does default risk in coupons affect the valuation of corporate bonds? A contingent claims model . Financial Management , 22 (3) : 117 – 131 .
   Google Scholar
• Krishnan , C. , Ritchken , P. and Thomson , J. 2005 . Monitoring and controlling bank risk: Does risky debt help? . Journal of Finance , 60 : 343 – 377 .
   Google Scholar
• Lando , D. 1994 . Three Essays on Contingent Claims Pricing PhD thesis, Cornell University
   Google Scholar
• Lando , D. 1997 . “ Modelling bonds and derivatives with default risk. ” . In Mathematics of Derivative Securities , Edited by: Dempster , M and Pliska , S . 369 – 393 . Cambridge University Press .
   Google Scholar
• Lando , D. 1998 . On Cox processes and credit risky securities . Review of Derivatives Research , 2 : 99 – 120 .
   Google Scholar
• Leland , H. E. 1994 . Corporate debt value, bond covenants, and optimal capital structure . The Journal of Finance , 49 (4) : 1213 – 1252 .
   Google Scholar
• Litterman , R. and Iben , T. 1991 . Corporate bond valuation and the term structure of credit spreads . Journal of Portfolio Management , 18 (1) : 52 – 64 .
   Google Scholar
• Ljung , G. and Box , G. 1978 . On a measure of lack of fit in time series models . Biometrika , 65 (2) : 297 – 303 .
   Web of Science ®Google Scholar
• Longstaff , F. and Schwartz , E. 1995 . A simple approach to valuing risky fixed and floating rate debt . The Journal of Finance , 50 (3) : 789 – 819 .
   Web of Science ®Google Scholar
• Madan , D. B. and Unal , H. 2000 . A two‐factor hazard‐rate model for pricing risky debt and the term structure of credit spreads . Journal of Financial and Quantitative Analysis , 35 : 43 – 65 .
   Web of Science ®Google Scholar
• Madan , D. and Unal , H. 1998 . Pricing the risks of default . Review of Derivatives Research , 2 (2/3) : 121 – 160 .
   Google Scholar
• Merton , R. 1974 . On the pricing of corporate debt: The risk structure of interest rates . Journal of Finance , 29 : 449 – 470 .
   Web of Science ®Google Scholar
• Nielsen , L. , Saa‐Requejo , J. and Santa‐Clara , P. 1993 . Default risk and interest rate risk: The term structure of default spreads. INSEAD Working Paper
   Google Scholar
• Saa‐Requejo , J. and Santa‐Clara , P. 1997 . Bond pricing with default risk. Anderson Graduate School of Management University of California, Los Angeles. Working Paper
   Google Scholar
• Sarig , O. and Warga , A. 1989 . Some empirical estimates of the term structure of interest rates . Journal of Finance , 44 (5) : 1351 – 1360 .
   Google Scholar
• Schmid , B. 2004 . “ Credit Risk Pricing Models – Theory and Practice ” . In Springer Finance , 259 – 305 . Heidelberg : Springer . 2nd edn
   Google Scholar
• Schmid , B. and Kalemanova , A. 2002 . Credit spreads between German and Italian zero coupon government bonds . Research in International Business and Finance , 16 : 497 – 533 .
   Google Scholar
• Schmid , B. and Zagst , R. 2000 . A three‐factor defaultable term structure model . The Journal of Fixed Income , 10 (2) : 63 – 79 .
   Google Scholar
• Schoenbucher , P. J. 1996 . The term structure of defaultable bond prices. Discussion Paper B‐384, Department of Statistics, University of Bonn
   Google Scholar
• Zagst , R. and Roth , J. 2004 . Three‐factor defaultable term structure models . International Journal of Pure and Applied Mathematics , 17 (2) : 249 – 285 .
   Google Scholar