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Collateralized Debt Obligations: Structures and Analysis, 2nd Edition, 2nd Edition
by Douglas J. Lucas, Laurie S. Goodman, Frank J, Wiley, (May 5, 2006), Hardcover, 505 pages
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The Mathematics of Credit Derivatives: The Essential Credit Modelling and Pricing Companion
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| | These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the G1 classification. (sorted by date) Accounting-Based versus Market-Based Cross-Sectional Models of CDS Spreads
by Sanjiv R. Das of Santa Clara University,
Paul Hanouna of Villanova University, and
Atulya Sarin of Santa Clara University
(1,049K PDF) -- 41 pages -- May 5, 2008 Pricing Options on Defaultable Stocks
by Erhan Bayraktar of the University of Michigan
(249K PDF) –- 26 pages -- December 2007 A Model of Corporate Bond Pricing with Liquidity and Marketability Risk
by Pierre Tychon of the European Investment Bank,
Vincent Vannetelbosch of FNRS & CORE, Université catholique de Louvain
(279K PDF) -- 36 pages -- August 19, 2005 An Empirical Evaluation of Structural Credit Risk Models
by ikola A Tarashev of the Bank for International Settlements
(314K PDF) -- 48 pages -- July 2005 Hillegeist, Stephen A., Elizabeth K. Keating, Donald P. Cram, and Kyle G. Lundstedt, "Assessing the Probability of Bankruptcy", Review of Accounting Studies, Vol. 9, No. 1, (March 2004), pp. 5-34. [Abstract] Insolvency or Liquidity Squeeze? Explaining Very Short-Term Corporate Yield Spreads
by Dan Covitz of the Federal Reserve Board, and
Chris Downing of the Rice University
(248K PDF) -- 42 pages -- October 2, 2002 Credit Derivatives in Emerging Markets
by Romain G. Ranciere of New York University
(299K PDF) -- 24 pages -- April 2002
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