Credit Risk: Pricing, Measurement, and Management

By David Lando | Go to book overview

References

Acharya, V. V. and J. Carpenter. 2002. Corporate bond valuation and hedging with stochastic interest rates and endogenous bankruptcy. Review of Financial Studies 15:1355–1383.

Acharya, V., S. Das, and R. Sundaram. 2002. Pricing credit derivatives with rating transitions. Financial Analysts Journal 58:28–44.

Acharya, V., S. Bharath, and A. Srinivasan. 2003. Understanding the recovery rates on defaulted securities. Working paper, London Business School, University of Michigan, and University of Georgia.

Allen, F. and D. Gale. 2000. Financial contagion. Journal of Political Economy 108:1–33.

Altman, E. 1968. Financial ratios: discriminant analysis, and the prediction of corporate bankruptcy. Journal of Finance 23:589–609.

Altman, E. and D. L. Kao. 1992a. The implications of corporate bond rating drift. Financial Analysts Journal 48(3):64–75.

Altman, E. and D. L. Kao. 1992b (March). Rating drift in high yield bonds. Journal of Fixed Income 1(4):15–20.

Altman, E., B. Brady, A. Resti, and A. Sironi. 2002. The link between default and recovery rates: implications for credit risk models and procyclicality. Journal of Business, in press.

Ammann, E. 2002. Credit risk valuation: methods, models, and applications. Springer.

Andersen, P. K., Ø. Borgan, R. Gill, and N. Keiding. 1993. Statistical models based on counting processes. Springer.

Anderson, R. and S. Sundaresan. 1996. Design and valuation of debt contracts. Review of Financial Studies 9:37–68.

Anderson, T. W. 1984. An introduction to multivariate statistical analysis, 2nd edn. New York: Wiley.

Arjas, E. 1989. Survival models and martingale dynamics. Scandinavian Journal of Statistics 16:177–225.

Artzner, P. and F. Delbaen. 1990. “Finem lauda” or the risk in swaps. Insurance: Mathematics and Economics 9:295–303.

Artzner, P. and F. Delbaen. 1995. Default risk insurance and incomplete markets. Mathematical Finance 5:187–195.

Arvanitis, A. and J. Gregory. 2001. Credit—the complete guide to pricing, hedging and risk management. London: Risk Books.

Arvanitis, A., J. Gregory, and J.-P. Laurent. 1999. Building models for credit spreads. Journal of Derivatives 6:27–43.

Back, K. 1991. Asset pricing for general processes. Journal of Mathematical Economics 20:371–395.

Bakshi, G., D. Madan, and F. Zhang. 2001. Understanding the role of recovery in default risk models: empirical comparisons and implied recovery rates. Working paper. University of Maryland.

-297-

Notes for this page

Add a new note
If you are trying to select text to create highlights or citations, remember that you must now click or tap on the first word, and then click or tap on the last word.
One moment ...
Project items

Items saved from this book

This book has been saved
Highlights (0)
Some of your highlights are legacy items.

Highlights saved before July 30, 2012 will not be displayed on their respective source pages.

You can easily re-create the highlights by opening the book page or article, selecting the text, and clicking “Highlight.”

Citations (0)
Some of your citations are legacy items.

Any citation created before July 30, 2012 will labeled as a “Cited page.” New citations will be saved as cited passages, pages or articles.

We also added the ability to view new citations from your projects or the book or article where you created them.

Notes (0)
Bookmarks (0)

You have no saved items from this book

Project items include:
  • Saved book/article
  • Highlights
  • Quotes/citations
  • Notes
  • Bookmarks
Notes
Cite this page

Cited page

Style
Citations are available only to our active members.
Sign up now to cite pages or passages in MLA, APA and Chicago citation styles.

(Einhorn, 1992, p. 25)

(Einhorn 25)

1

1. Lois J. Einhorn, Abraham Lincoln, the Orator: Penetrating the Lincoln Legend (Westport, CT: Greenwood Press, 1992), 25, http://www.questia.com/read/27419298.

Cited page

Bookmark this page
Credit Risk: Pricing, Measurement, and Management
Settings

Settings

Typeface
Text size Smaller Larger
Search within

Search within this book

Look up

Look up a word

  • Dictionary
  • Thesaurus
Please submit a word or phrase above.
Print this page

Print this page

Why can't I print more than one page at a time?

Full screen
/ 310

matching results for page

Cited passage

Style
Citations are available only to our active members.
Sign up now to cite pages or passages in MLA, APA and Chicago citation styles.

"Portraying himself as an honest, ordinary person helped Lincoln identify with his audiences." (Einhorn, 1992, p. 25).

"Portraying himself as an honest, ordinary person helped Lincoln identify with his audiences." (Einhorn 25)

"Portraying himself as an honest, ordinary person helped Lincoln identify with his audiences."1

1. Lois J. Einhorn, Abraham Lincoln, the Orator: Penetrating the Lincoln Legend (Westport, CT: Greenwood Press, 1992), 25, http://www.questia.com/read/27419298.

Cited passage

Welcome to the new Questia Reader

The Questia Reader has been updated to provide you with an even better online reading experience.  It is now 100% Responsive, which means you can read our books and articles on any sized device you wish.  All of your favorite tools like notes, highlights, and citations are still here, but the way you select text has been updated to be easier to use, especially on touchscreen devices.  Here's how:

1. Click or tap the first word you want to select.
2. Click or tap the last word you want to select.

OK, got it!

Thanks for trying Questia!

Please continue trying out our research tools, but please note, full functionality is available only to our active members.

Your work will be lost once you leave this Web page.

For full access in an ad-free environment, sign up now for a FREE, 1-day trial.

Already a member? Log in now.