1. Pricing transition risk with a jump-diffusion credit risk model: evidences from the CDS market. (2024). Smaniotto, Elia ; Radi, Davide ; Livieri, Giulia.
   In: LSE Research Online Documents on Economics.
   RePEc:ehl:lserod:123650.

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2. Transmission of liquidity and credit risks in the Chinese bond market: Analysis based on joint modeling of multiple yield curves. (2024). Hong, Zhiwu ; Lin, Mucai ; Su, GE.
   In: International Review of Economics & Finance.
   RePEc:eee:reveco:v:91:y:2024:i:c:p:597-615.

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3. Incomplete information model of credit default of micro and small enterprises. (2023). Chen, Tingqiang ; Wang, Suyang.
   In: International Journal of Finance & Economics.
   RePEc:wly:ijfiec:v:28:y:2023:i:3:p:2956-2974.

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4. Incomplete Information, Debt Issuance, and the Term Structure of Credit Spreads. (2023). Benzoni, Luca ; Goldstein, Robert ; Garlappi, Lorenzo.
   In: Management Science.
   RePEc:inm:ormnsc:v:69:y:2023:i:7:p:4331-4352.

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5. Pricing Transition Risk with a Jump-Diffusion Credit Risk Model: Evidences from the CDS market. (2023). Livieri, Giulia ; Smaniotto, Elia ; Radi, Davide.
   In: Papers.
   RePEc:arx:papers:2303.12483.

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6. Default risk premium and asset prices. (2022). Corvino, Raffaele ; Fusai, Gianluca.
   In: Journal of Financial Stability.
   RePEc:eee:finsta:v:60:y:2022:i:c:s1572308922000390.

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7. An empirical evaluation of alternative fundamental models of credit spreads. (2022). Murphy, Austin ; Headley, Adrian.
   In: International Review of Financial Analysis.
   RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000904.

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8. A revised version of the Cathcart & El-Jahel model and its application to CDS market. (2021). Hoang, Vu Phuong ; Dvoakova, Hana ; Torri, Gabriele ; Radi, Davide.
   In: Decisions in Economics and Finance.
   RePEc:spr:decfin:v:44:y:2021:i:2:d:10.1007_s10203-021-00350-x.

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9. The Relevance of Liquidity and Country Risk to Euro-Denominated Bonds and the Influence of ECB Monetary Policy. (2021). Giovanni, Verga ; Manoux, Monteux ; Gino, Gandolfi ; Cristina, Arcuri Maria.
   In: International Journal of Economics and Finance.
   RePEc:ibn:ijefaa:v:13:y:2021:i:6:p:1.

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10. The expected time to cross a threshold and its determinants: a simple and flexible framework. (2021). Rodrigues, Paulo ; Nicolau, Joo ; Zsurkis, Gabriel.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:122:y:2021:i:c:s0165188920302153.

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11. The role of the leverage effect in the price discovery process of credit markets. (2021). ZIMMERMANN, Paul.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:122:y:2021:i:c:s0165188920302013.

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12. Modeling CDS spreads: A comparison of some hybrid approaches. (2020). Ballestra, Luca Vincenzo ; Pacelli, Graziella ; Radi, Davide.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:57:y:2020:i:c:p:107-124.

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13. A martingale representation theorem and valuation of defaultable securities. (2020). Choulli, Tahir ; Vanmaele, Michele ; Daveloose, Catherine.
    In: Mathematical Finance.
    RePEc:bla:mathfi:v:30:y:2020:i:4:p:1527-1564.

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14. Asymmetric Information, Dynamic Debt Issuance, and the Term Structure of Credit Spreads. (2019). Benzoni, Luca ; Goldstein, Robert S ; Garlappi, Lorenzo.
    In: Working Paper Series.
    RePEc:fip:fedhwp:wp-2019-08.

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15. Credit default prediction and parabolic potential theory. (2017). Hinz, Michael ; Bedini, Matteo L.
    In: Statistics & Probability Letters.
    RePEc:eee:stapro:v:124:y:2017:i:c:p:121-125.

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16. Optimal capital structure and credit spread under incomplete information. (2017). Liu, Yang ; Peng, Juan ; Yang, Jinqiang.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:49:y:2017:i:c:p:596-611.

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17. Unexpected Default in an Information Based Model. (2016). Buckdahn, Rainer ; Bedini, Matteo Ludovico ; Engelbert, Hans-Jurgen .
    In: Papers.
    RePEc:arx:papers:1611.02952.

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18. Spatial Interaction Model of Credit Risk Contagion in the CRT Market. (2015). Li, Xindan ; Chen, Tingqiang ; Wang, Jining.
    In: Computational Economics.
    RePEc:kap:compec:v:46:y:2015:i:4:p:519-537.

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19. Intensity process for a pure jump Lévy structural model with incomplete information. (2015). Dong, Xin ; Zheng, Harry.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:125:y:2015:i:4:p:1307-1322.

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20. Credit risk characteristics of US small business portfolios. (2015). Wolff, Christian ; Pisa, Magdalena ; Bams, Dennis.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10889.

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21. Inferring Default Correlation from Equity Return Correlation. (2015). Xie, Yan Alice ; Liu, Sheen ; Shi, Jian ; Qi, Howard.
    In: European Financial Management.
    RePEc:bla:eufman:v:21:y:2015:i:2:p:333-359.

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22. Forecasting Bankruptcy with Incomplete Information. (2014). Xu, Xin.
    In: MPRA Paper.
    RePEc:pra:mprapa:55024.

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23. Credit risk and asymmetric information: A simplified approach. (2014). Lund, Arne-Christian ; Lindset, Snorre ; Persson, Svein-Arne.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:39:y:2014:i:c:p:98-112.

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24. Intensity Process for a Pure Jump L\evy Structural Model with Incomplete Information. (2014). Dong, Xin ; Zheng, Harry.
    In: Papers.
    RePEc:arx:papers:1405.3767.

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25. On the political determinants of sovereign risk: Evidence from a Markov-switching vector autoregressive model for Argentina. (2013). Sottile, Pedro.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:15:y:2013:i:c:p:160-185.

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26. Credit spreads, endogenous bankruptcy and liquidity risk. (2012). Wang, Xingchun ; Fu, Jianping.
    In: Computational Management Science.
    RePEc:spr:comgts:v:9:y:2012:i:4:p:515-530.

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27. Approximating correlated defaults. (2012). Rosenthal, Dale ; Rosenthal, Dale W. R., .
    In: MPRA Paper.
    RePEc:pra:mprapa:36788.

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28. Credit Risk with asymmetric information on the default threshold. (2012). Hillairet, Caroline ; Jiao, Ying.
    In: Post-Print.
    RePEc:hal:journl:hal-00663136.

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29. Modeling default correlation in a US retail loan portfolio. (2012). Wolff, Christian ; Pisa, Magdalena ; Bams, Dennis.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:9205.

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30. Flexing the default barrier. (2011). Schneider, Paul ; Vea, Tanja ; Dorfleitner, Gregor.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:11:y:2011:i:12:p:1729-1743.

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31. A Top-Down Approach to Multiname Credit. (2011). Ding, Xiaowei ; Goldberg, Lisa R ; Giesecke, Kay.
    In: Operations Research.
    RePEc:inm:oropre:v:59:y:2011:i:2:p:283-300.

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32. Enhancing credit default swap valuation with meshfree methods. (2011). Guarín López, Alexander ; Liu, Xiaoquan ; Ng, Wing Lon ; Guarin, Alexander.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:214:y:2011:i:3:p:805-813.

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33. Portfolio Risk Analysis. (2010). Korajczyk, Robert A ; Goldberg, Lisa R ; Connor, Gregory.
    In: Economics Books.
    RePEc:pup:pbooks:9224.

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34. CREDIT RISK MODELS: AN ANALYSIS OF DEFAULT CORRELATION. (2010). Xie, Yan Alice ; Liu, Sheen ; Qi, Howard.
    In: The International Journal of Business and Finance Research.
    RePEc:ibf:ijbfre:v:4:y:2010:i:1:p:37-49.

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35. First passage time for multivariate jump‐diffusion processes in finance and other areas of applications. (2009). , Roderick ; Zhang, DI.
    In: Applied Stochastic Models in Business and Industry.
    RePEc:wly:apsmbi:v:25:y:2009:i:5:p:565-582.

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36. A Structural Model with Unobserved Default Boundary. (2008). Schmidt, Thorsten ; Novikov, Alexander.
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:15:y:2008:i:2:p:183-203.

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37. Valuation of default-sensitive claims under imperfect information. (2008). Jeanblanc, Monique ; Geman, Helyette ; Coculescu, Delia.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:12:y:2008:i:2:p:195-218.

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38. Intensity process and compensator: A new filtration expansion approach and the Jeulin--Yor theorem. (2008). Zeng, Yan ; Guo, Xin.
    In: Papers.
    RePEc:arx:papers:0801.3191.

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39. A Pure Test for the Elasticity of Yield Spreads. (2007). Batten, Jonathan ; Jacoby, Gady ; Liao, Chuan.
    In: The Institute for International Integration Studies Discussion Paper Series.
    RePEc:iis:dispap:iiisdp195.

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40. A simple model of credit contagion. (2007). vanini, paolo ; Leippold, Markus ; Egloff, Daniel .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:31:y:2007:i:8:p:2475-2492.

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41. A market-based framework for bankruptcy prediction. (2007). Perlich, Claudia ; Reisz, Alexander S..
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:3:y:2007:i:2:p:85-131.

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1. Deriving the term structure of banking crisis risk with a compound option approach: The case of Kazakhstan. (2010). Eichler, Stefan ; Maltritz, Dominik ; Karmann, Alexander.
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2. Bailouts, the Incentive to Manage Risk, and Financial Crises. (2009). Panageas, Stavros.
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3. Cash Holdings and Credit Risk. (2009). Strebulaev, Ilya ; Acharya, Viral ; Davydenko, Sergei A..
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4. Financial intermediary leverage and value at risk. (2008). Shin, Hyun Song ; Adrian, Tobias.
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5. Specification analysis of structural credit risk models. (2008). Zhou, Hao ; Huang, Jingzhi.
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6. Default-risky bond prices with jumps, liquidity risk and incomplete information. (2007). Valchev, Stoyan ; Jeanblanc, Monique.
   In: Decisions in Economics and Finance.
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7. The valuation of a firm’s investment opportunities: a reduced form credit risk perspective. (2007). Purnanandam, Amiyatosh ; Jarrow, Robert.
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8. Expected Default Probabilities in Structural Models: Empirical Evidence. (2007). Pereira, Ricardo ; Patel, Kanak.
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9. Switching to a poor business activity: optimal capital structure, agency costs and covenant rules. (2007). Décamps, Jean-Paul.
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10. A Pure Test for the Elasticity of Yield Spreads. (2007). Batten, Jonathan ; Jacoby, Gady ; Liao, Chuan.
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11. Liquidity and Capital Structure. (2007). Anderson, Ronald W ; Carverhill, Andrew.
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12. Optimal Debt Contracts under Costly Enforcement. (2007). Hvide, Hans ; Leite, Tore.
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13. Book Values and Market Values of Equity and Debt. (2006). Realdon, Marco.
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14. Macroeconomic Conditions, Firm Characteristics, and Credit Spreads. (2006). yan, hong ; Tang, Dragon.
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15. Credit Risk Models II: Structural Models. (2006). Elizalde, Abel.
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16. An empirical analysis of structural models of corporate debt pricing. (2005). Teixeira, Joao.
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17. A Theory of Takeovers and Disinvestment. (2005). MYERS, Stewart C. ; Lambrecht, Bart.
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18. Optimal contracts under imperfect enforcement revisited. (2005). Hvide, Hans.
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19. On the importance of systematic risk factors in explaining the cross-section of corporate bond yield spreads. (2005). King, Tao-Hsien Dolly ; Khang, Kenneth.
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20. Credit risk modeling with affine processes. (2005). Duffie, Darrell.
    In: Journal of Banking & Finance.
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21. A Model of Corporate Liquidity. (2005). Anderson, Ronald W ; Carverhill, Andrew.
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22. Capital Structure, Credit Risk, and Macroeconomic Conditions. (2005). Miao, Jianjun ; Hackbarth, Dirk ; Morellec, Erwan.
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23. Decomposing credit spreads. (2005). Churm, Rohan ; Panigirtzoglou, Nikolaos.
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24. Firm and Corporate Bond Valuation: A Simulation Dynamic Programming Approach. (2004). Castillo, Augusto.
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25. The Determinants of Credit Default Swap Premia. (2004). Ericsson, Jan ; Oviedo-Helfenberger, Rodolfo ; Jacobs, Kris.
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26. Do Tests of Capital Structure Theory Mean What They Say?. (2004). Strebulaev, Ilya.
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27. Capital structure: optimal leverage and maturity choice in a dynamic model. (2004). Forte, Santiago.
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28. The Determinants of Credit Default Swap Premia. (2004). Ericsson, Jan ; Oviedo, Rodolfo A. ; Jacobs, Kris.
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29. Formal Bankruptcy: Strategic Debt Service with Senior and Junior Creditors. (2004). Breccia, Adriana.
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30. A Theory of Capital Structure with Strategic Defaults and Priority Violations. (2003). Hvide, Hans ; Kaplan, Todd.
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31. Liquidation Triggers and the Valuation of Equity and Debt. (2003). Wiener, Zvi ; Raviv, Alon.
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32. Credit Risk and Dynamic Capital Structure Choice. (2003). Zechner, Josef ; Dangl, Thomas.
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33. Understanding the Recovery Rates on Defaulted Securities. (2003). Acharya, Viral ; Bharath, Sreedhar T ; Srinivasan, Anand.
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34. Valuation of Defaultable Bonds and Debt Restructuring. (2003). Dumitrescu, Ariadna.
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35. The Valuation of Corporate Liabilities: Theory and Tests. (2002). Ericsson, Jan ; Reneby, Joel.
    In: SSE/EFI Working Paper Series in Economics and Finance.
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36. A Note on Contingent Claims Pricing with Non-Traded Assets. (2002). Ericsson, Jan ; Reneby, Joel.
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37. Equity and bond market signals as leading indicators of bank fragility. (2002). Vulpes, Giuseppe ; Gropp, Reint ; Vesala, Jukka.
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38. Repeated dilution of diffusely held debt. (2002). Mella-Barral, Pierre ; Hege, Ulrich.
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39. Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy. (2002). Carpenter, Jennifer ; Acharya, Viral.
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40. Understanding the Economic Value of Legal Covenants in Investment Contracts: A Real-Options Approach to Venture Equity Contracts. (2002). Saliasi, Entela ; Cossin, Didier ; Leleux, Benoit.
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41. An Analysis of Subordinated Debt in Banking: The Case of Costly Bankruptcy. (2001). Nivorozhkin, Eugene.
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42. Collateral, Renegotiation And The Value Of Diffusely Held Debt. (2000). Mella-Barral, Pierre ; Hege, Ulrich.
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43. Coordination Risk and the Price of Debt. (1999). Shin, Hyun Song ; Morris, Stephen.
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44. The Cash Flow Model with Float: A New Approach to Deal with Valuation and Agency Problems.. (1999). Apreda, Rodolfo.
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