These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the C22 classification. (sorted by date) Are Credit Default Swap Spreads Market Driven
by Hayette Gatfaoui of Rouen School of Management
(378K PDF) -- 8 pages -- July 2007 Estimating the Structural Credit Risk Model When Equity Prices Are Contaminated by Trading Noises
by Jin-Chuan Duan of the University of Toronto, and
Andras Fulop of ESSEC Business School & CREST, France
(225K PDF) -– 30 pages -- July 2007 On the Equivalence of the KMV and Maximum Likelihood Methods for Structural Credit Risk Models
by Jin-Chuan Duan of the University of Toronto,
Geneviève Gauthier of HEC, and
Jean-Guy Simonato of HEC
(204K PDF) -- 19 pages -- November 30, 2004 Determents of Euro Term Structure of Credit Spreads
by Astrid Van Landschoot of National Bank of Belgium and Ghent University
(1,204K PDF) -- 58 pages -- October 2004 Identifying Threshold Effects in Credit Risk Stress Testing
by J. Giancarlo Gasha of the International Monetary Fund, and
R. Armando Morales of the International Monetary Fund
(297K PDF) -- 18 pages -- August 2004 Estimating Merton's Model by Maximum Likelihood with Survivorship Consideration
by Jin-Chuan Duan of the University of Toronto,
Geneviève Gauthier of HEC (Montréal),
Jean-Guy Simonato of HEC (Montréal), and
Sophia Zaanoun of HEC (Montréal)
(279K PDF) -- 24 pages -- October 2003 Estimating Merton's Model by Maximum Likelihood with Survivorship Consideration
by Jin-Chuan Duan of the University of Toronto
Geneviève Gauthier of HEC (Montreal)
Jean-Guy Simonato of HEC (Montreal)
Sophia Zaanoun of HEC (Montreal)
(391K PDF) -- 25 pages -- October 2003 An Econometric Model of Credit Spreads with Rebalancing, ARCH and Jump Effects
by Herman Bierens of Penn State University, and
Jing-zhi Huang of Penn State University and New York University
(422K PDF) -- 42 pages -- April 8, 2003 An Empirical Investigation in Credit Spread Indices
by Jean-Luc Prigent of the Université de Cergy-Pontoise,
Olivier Renault of the London School of Economics, and
Olivier Scaillet of the Université Catholique de Louvain
(869K PDF) -- 36 pages -- February 2001
[Home] [JEL Classification] | 
