JEL Classification E43
"Determination of Interest Rates; Term Structure of Interest Rates"These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the E43 classification. (sorted by date) Dynamic Interactions Between Interest-Rate and Credit Risk: Theory and evidence on the credit default swap term structure
by Ren-Raw Chen of Fordham University,
Xiaolin Chen of Morgan Stanley, and
Liuren Wu of the City University of New York
(256K PDF) -- 24 pages -- September 2011 Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA
by Masaaki Fujii of the University of Tokyo, and
Akihiko Takahashi of the University of Tokyo
(1355K PDF) -- 37 pages -- March 31, 2011 A Note on Construction of Multiple Swap Curves with and without Collateral
by Masaaki Fujii of the University of Tokyo,
Yasufumi Shimada of Shinsei Bank, Limited, and
Akihiko Takahashi of the University of Tokyo
(179K PAGES) -- 21 pages -- January 25, 2010 A Multi-Portfolio Model for Bespoke CDO Pricing, Part I: Methodology
by Richard Zhou of the Depository Trust & Clearing Corporation
(838K PDF) -- 34 pages -- September 8, 2009 The Economic Role of Jumps and Recovery Rates in the Market for Corporate Default Risk
by Paul Schneider of the University of Warwick,
Leopold Sögner of Institute for Advanced Studies, Vienna, and
Tanja Ve˛a of Vienna University of Economics and Business
(498K PDF) -- 60 pages -- May 14, 2009 A Value at Risk Analysis of Credit Default Swaps
by Burkhart Raunig of the Oesterreichische Nationalbank, and
Martin Scheicher of the European Central Bank
(931K PDF) -- 34 pages -- November 2008 Bond Implied CDS Spread and CDS-Bond Basis
by Richard Zhou of the Depository Trust & Clearing Corporation
(184K PDF) -- 11 pages -- August 15, 2008 A No-Arbitrage Analysis of Economic Determinants of the Credit Spread Term Structure
by Liuren Wu of Baruch College, and
Frank Xiaoling Zhang of Morgan Stanley
(205K PDF) -- 16 pages -- June 2008 How has CDO Market Pricing Changed During the Turmoil: Evidence from CDS index tranches
by Martin Scheicher of the European Central Bank
(1,006K PDF) -- 46 pages -- June 2008 Jumps and Recovery Rates Inferred from Corporate CDS Premia
by Paul Schneider of Vienna University of Economics and Business Administration,
Leopold Sögner of Vienna University of Technology, and
Tanja Ve˛a of Vienna University of Economics and Business Administration
(550K PDF) -- 43 pages -- February 3, 2007 Bond Durations: Corporates vs. Treasuries
by Holger Kraft of the University of Kaiserslautern, and
Claus Munk of the University of Southern Denmark
(260K PDF) -- 28 pages -- January 19, 2007 Credit Derivatives with Recovery of Market Value for Multiple Firms
by Keiichi Tanaka of Tokyo Metropolitan University
(161K PDF) -- 16 pages -- September 2006 Yongjun, Dragon and Tangy Hong Yanz, " Macroeconomic Conditions, Firm Characteristics, and Credit Spreads", Journal of Financial Services Research, Vol. 29, No. 3, (June 2006), pp. 177-210. The Jarrow and Turnbull Default Risk Model - Evidence from the German Market
by Manfred Frühwirth of Vienna University, and
Leopold Sögner of the Technical University of Vienna
(565K PDF) -- 49 pages -- October 17, 2004 Loan Pricing under Basel Capital Requirements
by Rafael Repullo of CEMFI & CEPR, and
Javier Suarez of CEMFI & CEPR
(328K PDF) -- 37 pages -- July 2004 Estimating the Term Structure of Yield Spreads from Callable Corporate Bond Price Data
by Antje Berndt of Cornell University
(389K PDF) -- 43 pages -- April 16, 2004 Is Default Event Risk Priced in Corporate Bonds?
by Joost Driessen of the University of Amsterdam
(275K PDF) -- 48 pages -- March 2002 The Jarrow/Turnbull Default Risk Model: Evidence from the German Market
by Manfred Frühwirth of Vienna University of Economics, and
Leopold Sögner of Vienna University of Economics
(296K PDF) -- 26 pages -- October 8, 2001 Default Premia on European Government Debt
by Ingunn M. Lųnning of the Norges Bank
(107K PDF) -- 41 pages -- December 1999 A Two-Factor Hazard-Rate Model for Pricing Risky Debt and the Term Structure of Credit Spreads
by Dilip Madan of the University of Maryland, and
Haluk Unal of the University of Maryland
(1,109K PDF) -- 32 pages -- June 28, 1999 Arvanitis, Angelo, Jonathan Gregory, and Jean-Paul Laurent, " Building Models For Credit Spreads", Journal of Derivatives, Vol. 6, No. 3, (Spring 1999), pp. 27-43.
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