This paper investigates the forecasting accuracy of bankruptcy hazard rate models for US
companies over the time period 1962–1999 using both yearly and monthly observation …

This article empirically tests five structural models of corporate bond pricing: those of Merton
(1974), Geske (1977), Longstaff and Schwartz (1995), Leland and Toft (1996), and Collin …

This article provides an empirical decomposition of the default, liquidity, and tax factors that
determine expected corporate bond returns. In particular, the risk premium associated with a …

We develop a structural bond valuation model to simultaneously capture liquidity and credit
risk. Our model implies that renegotiation in financial distress is influenced by the illiquidity …

Written by one of the leading experts in the field, this book focuses on the interplay between
model specification, data collection, and econometric testing of dynamic asset pricing …

This article is a critical survey of models designed for pricing fixed-income securities and
their associated term structures of market yields. Our primary focus is on the interplay …

This paper introduces measures of volatility and jump risk that are based on individual stock
options to explain credit spreads on corporate bonds. Implied volatilities of individual options …

In this paper we compare market prices of credit default swaps with model prices. We show
that a simple reduced form model outperforms directly comparing bonds' credit spreads to …

Spreads on corporate bonds tend to be many times wider than what would be implied by
expected default losses alone. These spreads are the difference between yields on …

This article presents a framework for studying the role of recovery on defaultable debt prices
(for a wide class of processes describing recovery rates and default probability). These debt …