In the past five years, many sophisticated models for pricing credit risk have been
developed. The rapid progress in this area is primarily a result of the growth of credit …

The credit derivatives market is booming and, for the first time, expanding into the banking
sector which previously has had very little exposure to quantitative modeling. This …

This paper computes the effective duration of callable corporate bonds, using a contingent-
claims model that incorporates both default risk and call risk. The model generates empirical …

This paper presents an analytical model of corporate discount bond prices. The critical
assumption of the model is that the dynamics of the firm's debt ratio revert toward a long-term …

This book is tightly focused on the pricing and hedging of fixed income securities and their
derivatives. It is targeted at those who are interested in trading these instruments in an …

Most previous empirical studies using the Heath–Jarrow–Morton model (hereafter referred
to as the HJM model) have focused on the one‐factor model. In contrast, this study …

Various probabilistic techniques, which are used in the modeling of derivative securities (in
particular, zero-coupon bonds) that are subject to default risk are presented in a systematic …

Where institutions and individuals averagely invest the majority of their assets in money-
market and fixed-income instruments, interest rate risk management could be seen as the …

We study the role of diversification in reducing the volatility of corporate bond returns
induced by changes in credit spreads. Specifically, we look at how credit risk can be …

The risk of going bankrupt is of significant interest to shareholders, creditors, employees of a
firm and lenders. Following the financial crisis and the spate of corporate bankruptcies in …