On the Term Structure of Default Premia in the Swap and LIBOR Markets

ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*

1974 • 10,570 citations

A YIELD‐FACTOR MODEL OF INTEREST RATES

1996 • 2,625 citations

Modeling Term Structures of Defaultable Bonds

1999 • 2,575 citations

A Markov Model for the Term Structure of Credit Risk Spreads

1997 • 1,509 citations

The Relation Between Treasury Yields and Corporate Bond Yield Spreads

1998 • 816 citations

Estimating the Price of Default Risk

1999 • 803 citations

An Econometric Model of the Term Structure of Interest-Rate Swap Yields

1997 • 652 citations

Maximum Likelihood Estimation for a Multifactor Equilibrium Model of the Term Structure of Interest Rates

1993 • 608 citations

Swap Rates and Credit Quality

1996 • 470 citations

Using Default Rates to Model the Term Structure of Credit Risk

1994 • 329 citations

Some Empirical Estimates of the Risk Structure of Interest Rates

1989 • 285 citations

Pricing Swap Default Risk

1994 • 232 citations

A Multivariate Model of the Term Structure*

1980 • 220 citations

The Default Risk of Swaps

1991 • 171 citations

The Behavior of Interest Rates Implied by the Term Structure of Eurodollar Futures

1996 • 162 citations

Interest rate swaps

1993 • 138 citations

The Behavior of Interest Rates.

1972 • 127 citations

Swaps: Plain and Fanciful

1992 • 125 citations

Exact solutions for bond and option prices with systematic jump risk

1996 • 98 citations

Valuation Of Swaps

1989 • 49 citations

Swap credit risk: An empirical investigation on transaction data

1997 • 32 citations

Swap Pricing and Default Risk: A Note

1990 • 21 citations

Swap Credit Risk: An Empirical Investigation on Transaction Data

1997 • 1 citations