References
- Cathcart , L and El-Jahel , L. 2003 . Semianalytical pricing of defaultable bonds in a signaling jump-default model . Journal of Computational Finance , 6 : 91 – 108 .
- Duffie , D and Lando , D . 2001 . Term structures of credit spreads with incomplete accounting information . Econometrica , 69 : 633 – 64 .
- Leland , H . 1998 . Agency costs, risk management and capital structure . Journal of Finance , 53 : 1213 – 43 .
- Longstaff , F , Mithal , S and Neis , E . 2005 . Corporate yield spreads: default risk or liquidity? New evidence from the credit default swap market . Journal of Finance , 60 : 2213 – 53 .
- Mason , S and Battacharya , S . 1981 . Risky debt, jump processes and safety covenants . Journal of Financial Economics , 9 : 281 – 307 .
- Mella-Barral , P and Tychon , P . 1999 . Default risk in asset pricing . Finance , 20 : 7 – 22 .
- Perraudin , W and Taylor , A . 2003 . Liquidity and bond market spreads, presented at . European Finance Association 2003 ,
- Zhou , C . 2001 . A jump-diffusion approach to modelling credit risk and valuing defaultable securities . Journal of Banking and Finance , 25 : 2015 – 40 .