Default Parameter Estimation Using Market Prices
- 1 September 2001
- journal article
- Published by Taylor & Francis in CFA Magazine
- Vol. 57 (5) , 75-92
- https://doi.org/10.2469/faj.v57.n5.2483
Abstract
No abstract availableThis publication has 9 references indexed in Scilit:
- Arbitrage, martingales, and private monetary valueJournal of Risk, 2000
- The intersection of market and credit riskJournal of Banking & Finance, 2000
- The Second Fundamental Theorem of Asset Pricing: A New ApproachThe Review of Financial Studies, 1999
- Estimating the Price of Default RiskThe Review of Financial Studies, 1999
- An Integrated Approach to the Hedging and Pricing of Eurodollar DerivativesJournal of Risk and Insurance, 1997
- A Markov Model for the Term Structure of Credit Risk SpreadsThe Review of Financial Studies, 1997
- Pricing Derivatives on Financial Securities Subject to Credit RiskThe Journal of Finance, 1995
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims ValuationEconometrica, 1992
- An equilibrium characterization of the term structureJournal of Financial Economics, 1977