Term Structures of Credit Spreads with Incomplete Accounting Information
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- Total return swap valuation with counterparty risk and interest rate risk
- Disentangling and assessing uncertainties in multiperiod corporate default risk predictions
- Filtered likelihood for point processes
- Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
- Default times, no-arbitrage conditions and changes of probability measures
- Modeling credit risk with partial information.
- Optimal contracting with effort and misvaluation
- The pricing of total return swap under default contagion models with jump-diffusion interest rate risk
- Credit risk and asymmetric information: a simplified approach
- Asymptotics for Hawkes processes with large and small baseline intensities
- Asymptotic analysis for one-name credit derivatives
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- Robust leverage dynamics without commitment
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- The pricing of credit risky securities under stochastic interest rate model with default correlation.
- Intensity process for a pure jump Lévy structural model with incomplete information
- Systematic equity-based credit risk: A CEV model with jump to default
- Pricing vulnerable option under jump-diffusion model with incomplete information
- Affine processes beyond stochastic continuity
- Term structure modelling for multiple curves with stochastic discontinuities
- Credit risk and solvency capital requirements
- Evaluation and default time for companies with uncertain cash flows
- The dependence of assets and default threshold with thinning-dependence structure
- Bond pricing under imprecise information
- On the asymptotic behavior of the prices of Asian options
- Dynamical analysis of corporate bonds based on the yield spread term-quality surface
- Pricing credit derivatives under fractional stochastic interest rate models with jumps
- Limit theorems for the compensator of Hawkes processes
- Reporting bias in incomplete information model
- Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels
- Information reduction via level crossings in a credit risk models
- Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling
- Intensity process and compensator: A new filtration expansion approach and the Jeulin-Yor theorem
- Default-risky bond prices with jumps, liquidity risk and incomplete information
- Skew Ornstein-Uhlenbeck processes and their financial applications
- Pricing default events: surprise, exogeneity and contagion
- Default probabilities of a holding company, with complete and partial information
- Closed-form formulas for the distribution of the jumps of doubly-stochastic Poisson processes
- Econometric specification of stochastic discount factor models
- Pricing CoCos with a market trigger
- Randomized structural models of credit spreads
- On the conditional default probability in a regulated market: a structural approach
- Credit risk valuation with rating transitions and partial information
- Cure events in default prediction
- A NON-HOMOGENEOUS SEMI-MARKOV REWARD MODEL FOR THE CREDIT SPREAD COMPUTATION
- Term structure of credit spreads with learning and anticipation effects
- INFORMATION ASYMMETRY IN PRICING OF CREDIT DERIVATIVES
- Life-cycle patterns of interest-rate mark-ups in small-firm finance
- THE DETERMINANTS OF CREDIT DEFAULT SWAP RATES: AN EXPLANATORY STUDY
- CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK
- PRICING CORPORATE SECURITIES UNDER NOISY ASSET INFORMATION
- Optimal strategies in a risky debt context
- Stochastic Volatility Effects on Defaultable Bonds
- A multivariate jump-driven financial asset model
- Pricing of Multi‐Defaultable Bonds with a Two‐Correlated‐Factor Hull–White Model
- A Structural Model with Unobserved Default Boundary
- A GENERAL FRAMEWORK FOR HIGH YIELD BOND INVESTMENT
- Credit spreads, endogenous bankruptcy and liquidity risk
- A continuous-time analysis of optimal restructuring of contracts with costly information disclosure
- On absolutely continuous compensators and nonlinear filtering equations in default risk models
- Computing the survival probability in the Madan-Unal credit risk model: application to the CDS market
- From the decompositions of a stopping time to risk premium decompositions
- Dynamic defaultable term structure modeling beyond the intensity paradigm
- Credit risk with asymmetric information on the default threshold
- A GENERAL FRAMEWORK FOR PRICING CREDIT RISK
- Smooth-pasting property on reflected Lévy processes and its applications in credit risk modeling
- A NONZERO‐SUM GAME APPROACH TO CONVERTIBLE BONDS: TAX BENEFIT, BANKRUPTCY COST, AND EARLY/LATE CALLS
- Hazard processes and martingale hazard processes
- INCORPORATING RISK AND AMBIGUITY AVERSION INTO A HYBRID MODEL OF DEFAULT
- A variation of Merton's corporate bond valuation model for firms with illiquid but observable assets
- DEFAULTABLE TERM STRUCTURES DRIVEN BY SEMIMARTINGALES
- Assessing the relevance of an information source to trading from an adaptive-markets hypothesis perspective
- Effects of Positive Jumps of Assets on Endogenous Bankruptcy and Optimal Capital Structure: Continuous- and Periodic-Observation Models
- Short Communication: Dynamic Default Contagion in Heterogeneous Interbank Systems
- Conditional hitting time estimation in a nonlinear filtering model by the Brownian bridge method
- Multiperiod corporate default prediction -- a forward intensity approach
- Empirical studies of structural credit risk models and the application in default prediction: review and new evidence
- Credit gap risk in a first passage time model with jumps
- RETHINKING DYNAMIC CAPITAL STRUCTURE MODELS WITH ROLL‐OVER DEBT
- Pricing defaultable bonds: a middle-way approach between structural and reduced-form models
- PARTIAL INFORMATION AND HAZARD PROCESS
- Fair Value of Liabilities: The Financial Economics Perspective
- Corporate security prices in structural credit risk models with incomplete information
- ACCOUNTING NOISE AND THE PRICING OF CoCos
- An efficient Monte Carlo scheme for Zakai equations
- Financial maintenance covenants in bank loans
- A default contagion model for pricing defaultable bonds from an information based perspective
- Application of nonlinear filtering to credit risk
- Dynamic debt issuance with jumps
- Credit risk pricing in a consumption‐based equilibrium framework with incomplete accounting information
- Dividends and leverage: how to optimally exploit a non-renewable investment
- Modelling the evolution of credit spreads using the Cox process within the HJM framework: a CDS option pricing model
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