Estimating the Price of Default Risk

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

1974 • 10,570 citations

Dynamic Asset Pricing Theory.

1993 • 3,202 citations

On the Pricing of Corporate Debt: The Risk Structure of Interest Rates

1974 • 2,884 citations

A Simple Approach to Valuing Risky Fixed and Floating Rate Debt

1995 • 2,167 citations

Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models

1970 • 2,117 citations

Pricing Derivatives on Financial Securities Subject to Credit Risk

1995 • 1,972 citations

A Markov Model for the Term Structure of Credit Risk Spreads

1997 • 1,509 citations

Contingent Claims Analysis of Corporate Capital Structures: an Empirical Investigation

1984 • 722 citations

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

1997 • 652 citations

Variance Function Estimation

1987 • 649 citations

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

1993 • 608 citations

Special Repo Rates

1996 • 459 citations

Firm-specific information and the correlation between individual stocks and bonds

1996 • 438 citations

Pricing the risks of default

1998 • 437 citations

Exploiting the Conditional Density in Estimating the Term Structure: An Application to the Cox, Ingersoll, and Ross Model

1994 • 427 citations

A Simple Approach to Valuing Risky Fixed and Floating Rate Debt

1995 • 422 citations

Pricing Derivatives on Financial Securities Subject to Credit Risk

1995 • 409 citations

Using Default Rates to Model the Term Structure of Credit Risk

1994 • 329 citations

The Slope of the Credit Yield Curve for Speculative‐Grade Issuers

1999 • 314 citations

Some Empirical Estimates of the Risk Structure of Interest Rates

1989 • 285 citations

Untitled

1999 • 284 citations

Corporate bond valuation and the term structure of credit spreads

1991 • 260 citations

A Jump-Diffusion Approach to Modeling Credit Risk and Valuing Defaultable Securities

1997 • 171 citations

Contingent Claims Analysis of Corporate Capital Structures: An Empirical Investigation

1984 • 134 citations

A Jump-Diffusion Approach to Modeling Credit Risk and Valuing Defaultable Securities

1997 • 96 citations

Exploiting the Conditional Density in Estimating the Term Structure: An Application to the Cox, Ingersoll, and Ross Model

1994 • 86 citations

Special Repo Rates

1996 • 79 citations

The Valuation of Default Risk in Corporate Bonds and Interest Rate Swaps

1996 • 51 citations

Interest Rate Options in Multifactor Cox-Ingersoll-Ross Models of the Term Structure

1995 • 50 citations

Deleted Work

1955 • 0 citations