Downloadable Papers (sorted by date)

NEW: The Top 20 books referenced/cited in these (below listed) papers.

I've put a gray background on the top five most browsed papers in this category.   (August-1)

Credit Risk Discovery in the Stock and CDS Market: Who, when and why leads?
by Santiago Forte of the Universitat Ramon Llull, and
Lidija Lovreta of the Universitat Ramon Llull
(382K PDF) -- 54 pages -- March 2008

Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure
by Hui Chen of the Massachusetts Institute of Technology
(477K PDF) -- 73 pages -- January 20, 2008

Valuation and Hedging of Defaultable Game Options in a Hazard Process Model
by Tom Bielecki of the Illinois Institute of Technology,
Stéphane Crépey of the Université d'Évry
Monique Jeanblanc of the Université d'Évry, and
Marek Rutkowski of the University of New South Wales
(410K PDF) -- 30 pages -- December 23, 2007

Pricing Options on Defaultable Stocks
by Erhan Bayraktar of the University of Michigan
(249K PDF) –- 26 pages -- December 2007

Credit Spreads on Corporate Bonds and the Macroeconomy in Japan
by Kiyotaka Nakashima of Kyoto Gakuen University, and
Makoto Saito of Hitotsubashi University
(535K PDF) -- 39 pages -- November 2007

Ratings-Based Pricing and Stochastic Spreads
by Mariam Harfush-Pardo of Risk Control Limited
Robert Lamb of Imperial College, and
William Perraudin of Imperial College
(292K PDF) -- 33 pages -- September 2007

The Market Price of Credit Risk
by Kay Giesecke of Stanford University, and
Lisa R. Goldberg of MSCI Barra
(207K PDF) -- 19 pages -- August 6, 2007

The Empirical Determinants of Local-Currency-Denominated Corporate Spreads in Emerging Economies: Evidence from South Africa
by Martin Grandes of the the American University of Paris, and
Marcel Peter of Swiss National Bank
(338K PDF) -- 40 pages -- July 2007

Predicting Credit Spreads
by C.N.V. Krishnan of Case Western Reserve University,
Peter H. Ritchken of Case Western Reserve University, and
James B. Thomson of Case Western Reserve University
(498K PDF) –- 50 pages -- June 19, 2007

Pricing Corporate Securities under Noisy Asset Information
by Rüdiger Frey of the University of Leipzig, and
Thorsten Schmidt of the University of Leipzig
(504K PDF) –- 18 pages -- May 7, 2007

Volatiltiy and Jump Risk Premia in Emerging Market Bonds
by John M. Matovu of Makerere University
(619K PDF) -- 23 pages -- April 2007

Credit Derivatives and Loan Pricing
by Lars Norden of Mannheim University, and
Wolf Wagner of Tilburg University & Cambridge University
(202K PDF) -- 35 pages -- February 23, 2007

Valuation and Hedging of Defaultable Game Options in a Hazard Process Model
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Stéphane Crépey of the Université d'Évry,
Monique Jeanblanc of the Université d'Évry, and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology
(358K PDF) –- 24 pages -- February 21, 2007

A Model for Counterparty Risk with Geometric Attenuation Effect and the Valuation of CDS
by Yunfen Bai of Shanghai Jiaotong University & Shijiazhuang College,
Xinhua Hu of Shanghai Jiaotong University, and
Zhongxing Ye of Shanghai Jiaotong University
(154K PDF) -– 8 pages -- January 2007

Utility-Based Pricing of Defaultable Bonds and the Decomposition of Credit Risk
by Tomoaki Shouda of the Mitsubishi UFJ Trust Investment Technology Institute Co., Ltd. and Hitotsubashi University
(571K PDF) –- 22 pages -- December 20, 2006

Corporate Bond Credit Spreads and Forecast Dispersion
by Levent Güntay of Indiana University, and
Dirk Hackbarth of Washington University
(431K PDF) -- 35 pages -- December 2006

Pricing Interest Rate-Sensitive Credit Portfolio Derivatives
by Philippe Ehlers of ETH Zurich, and
Philipp J. Schönbucher of ETH Zurich
(326K PDF) -- 34 pages -- December 2006

Equity Volatility and Credit Yield Spreads
by Ziemowit Bednarek of the University of California at Berkeley
(400K PDF) –- 45 pages -- November 9, 2006

Default and Information
by Kay Giesecke of Cornell University
(433K PDF) -- 23 pages -- November 2006

The Market Price of Risk in Interest Rate Swaps: The roles of default and liquidity risks
by Jun Liu of the University of California, San Diego,
Francis A. Longstaff of the University of California at Los Angeles, and
Ravit E. Mandell of Citigroup
(661K PDF) -- 23 pages -- September 2006

Derivative Pricing Based on Time Series Models of Default Probabilities (Master's Thesis)
by Kai-Hsiang Chang of National Sun Yat-sen University (Taiwan)
(634K PDF) -– 43 pages -- August 2, 2006

Investigating the Role of Systematic and Firm-Specific Factors in Default Risk: Lessons from empirically evaluating credit risk models
by Gurdip Bakshi of the University of Maryland,
Dilip Madan of the University of Maryland, and
Frank Xiaoling Zhang of the Federal Reserve Board of Governors
(179K PDF) -- 33 pages -- July 2006

Pricing Corporate Bonds in an Arbitrary Jump-Diffusion Model Based on an Improved Brownian-bridge Algorithm
by Johannes Ruf of the University of Ulm, and
Matthias Scherer of the University of Ulm
(202K PDF) –- 18 pages -- June 1, 2006

Valuation of Default Sensitive Claims Under Imperfect Information
by Delia Coculescu of the Université Paris-Dauphine & ESSEC,
Hélyette Geman of the Université Paris-Dauphine & ESSEC, and
Monique Jeanblanc of the Université d'Évry Val d'Essonne
(867K PDF) -– 35 page -- June 2006

Credit Spreads on Corporate Bonds and the Macroeconomy in Japan
by Kiyotaka Nakashima of Kyoto Gakuen University, and
Makoto Saito of Hitotsubashi University
(447K PDF) –- 36 pages -- June 2006

Pricing of Corporate and Portfolio Securities in Buyer-Supplier Networks
by Gorazd Brumen of the University of Zürich, and
Paolo Vanini of the University of Zürich and Zürcher Kantonalbank
(319K PDF) –- 40 pages -- May 19, 2006

Hybrid Derivatives Pricing Under the Potential Approach
by Giuseppe Di Graziano of the University of Cambridge, and
L.C.G. Rogers of the University of Cambridge
(182K PF) –- 15 pages -- May 4, 2006

Can Structural Models Price Default Risk? Evidence from Bond and Credit Derivative Markets
by Jan Ericsson of McGill University and SIFR,
Joel Reneby of the Stockholm School of Economics, and
Hao Wang of McGill University
(354K PDF) –- 37 pages -- April 10, 2006

A Dynamic Programming Approach for the Valuation of Callable Corporate Bonds within the CIR Framework
by Luca Passalacqua of the Università di Roma La Sapienza
(236K PDF) -- 16 pages -- March 21, 2006

On the Relation Between the Credit Spread Puzzle and the Equity Premium Puzzle
by Long Chen of Michigan State University,
Pierre Collin-Dufresne of the University of California Berkeley, and
Robert S. Goldstein of the University of Minnesota
(608K PDF) -- 58 pages -- March 17, 2006

Liquidation Triggers and the Valuation of Equity and Debt
by Dan Galai of the Hebrew University of Jerusalem & New York University,
Alon Raviv of the Hebrew University of Jerusalem, and
Zvi Wiener of the Hebrew University of Jerusalem
(331K PDF) -- 35 pages -- January 26, 2006

Dynamical Analysis of Corporate Bonds based on the Yield Spread Term-Quality Surface
by Tomoaki Shouda of Mitsubishi UFJ Trust Investment Technology Institute Co., Ltd and Hitotsubashi University
(2,907K PDF) –- 34 pages -- January 16, 2006

Individual Stock-Option Prices and Credit Spreads
by Martijn Cremers of the Yale School of Management,
Joost Driessen of the University of Amsterdam,
Pascal Maenhout of INSEAD, and
David Weinbaum of Cornell University
(373K PDF) -- 55 pages -- January 2006

Default Risk in Corporate Yield Spreads
by Georges Dionne of HEC Montréal,
Geneviève Gauthier of HEC Montréal,
Khemais Hammami of HEC Montréal,
Mathieu Maurice of HEC Montréal, and
Jean-Guy Simonato of HEC Montréal
(2,306K PDF) –- 46 pages -- November 23, 2005

Affine Model for Credit Risk Analysis
by Christian Gouriéroux of CREST & CEPREMAP & the University of Toronto,
Alain Monfort of CNAM & CREST, and
Vassilis Polimenis of the University of California
(291K PDF) -- 56 pages -- November 2005

The Pricing of Unexpected Credit Losses
by Jeffery D. Amato of the Bank for International Settlements, and
Eli M. Remolona of the Bank for International Settlements
(293K PDF) -- 46 pages -- November 2005

Stochastic Volatility Effects on Defaultable Bonds
by Jean-Pierre Fouque of North Carolina State University,
Ronnie Sircar of Princeton University, and
Knut Sølna of the University of California Irvine
(681K PDF) -- 33 pages -- October 24, 2005

Corporate Credit Risk Changes: Common Factors and Firm-Level Fundamentals
by Doron Avramov of the University of Maryland,
Gergana Jostova of George Washington University, and
Alexander Philipov of American University
(268K PDF) -- 39 pages -- September 22, 2005

Credit Spreads, Optimal Capital Structure, and Implied Volatility with Endogenous Default and Jump Risk
by Nan Chen of Columbia University, and
Steven Kou of Columbia University
(567K PDF) -- 35 pages -- July 6, 2005

From Default Probabilities to Credit Spreads: Credit Risk Models Do Explain Market Prices
by Stefan M. Denzler of Converium Ltd.,
Michel M. Dacorogna of Converium Ltd.,
Ulrich A. Müller of Converium Ltd., and
Alexander J. McNeil of Swiss Federal Institute of Technology (ETH)
(414K PDF) –- 18 pages -- June 25, 2005

A No-Arbitrage Analysis of Economic Determinants of the Credit Spread Term Structure
by Liuren Wu of Baruch College, and
Frank Xiaoling Zhang of the Federal Reserve Board
(473K PDF) -- 51 pages -- May 18, 2005

Estimating Structural Bond Pricing Models
by Jan Ericsson of McGill University, and
Joel Reneby of the Stockholm School of Economics
(504K PDF) -- 29 pages -- March 2005

An Integrated Pricing Model for Defaultable Loans and Bonds
by Mario Onorato of City University (London), and
Edward I. Altman of New York University
(532K PDF) – 21 pages -- March 2005

Explaining the Level of Credit Spreads: Option-implied jump risk premia in a firm value model
by Martijn Cremers of Yale University,
Joost Driessen of the University of Amsterdam,
Pascal Maenhout of INSEAD, and
David Weinbaum of Cornell University
(346K PDF) -– 45 pages -- February 2005

Pricing Callable Bonds with Stochastic Interest Rate and Stochastic Default Risk: A 3D Finite Difference Model
by David Wang of Hsuan Chuang University
(62K PDF) –- 10 pages -- February 2005

Estimating the Term Structure of Yield Spreads from Callable Corporate Bond Price Data
by Antje Berndt of Cornell University
(402K PDF) -- 43 pages -- December 16, 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

Do Macroeconomic Variables Matter for the Pricing of Default Risk? Evidence from the Residual Analysis of the Reduced-Form Model Pricing Errors
by Yan Alice Xie of the University of Michigan – Dearborn,
Chunchi Wu of Syracuse University, and
Jian Shi of Marshall University
(83 K PDF) -- 30 pages -- September 8, 2004

Bond Prices, Default Probabilities and Risk Premiums
by John Hull of the University of Toronto,
Mirela Predescu of the University of Toronto, and
Alan White of the University of Toronto
(136K PDF) -- 11 pages -- September 2004

Using Yield Spreads to Estimate Expected Returns on Debt and Equity
by Ian A. Cooper of the London Business School, and
Sergei A. Davydenko of the London Business School
(331K PDF) -- 35 pages -- August 9, 2004

An Empirical Comparison of Credit Spreads Between the Bond Market and the Credit Default Swap Market
by Haibin Zhu of the Bank for International Settlements
(490K PDF) -- 37 pages -- August 2004

Indifference Pricing and Hedging of Defaultable Claims
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of Warsaw University of Technology
(271K PDF) –- 27 pages -- May 1, 2004

Adverse Selection, Moral Hazard and the Term Structure of Default
by Koresh Galil of the Goethe University of Frankfurt and Tel-Aviv University
(511K PDF) -- 43 pages -- March 2004

Pricing and Hedging of Contingent Credit Lines
by Elena Loukoianova of the International Monetary Fund,
Salih N. Neftci of CUNY, and
Sunil Sharma of the International Monetary Fund
(274K PDF) –- 28 pages -- February 24, 2004

Valuing Euro Rating-Triggered Step-Up Telecom Bonds
by Patrick Houweling of Erasmus University,
Albert Mentink of Erasmus University and AEGON Asset Management, and
Ton Vorst of Erasmus University and ABN Amro
(935K PDF) -- 39 pages -- January 27, 2004

Modeling the Dynamics of Credit Spreads with Stochastic Volatility
by Kris Jacobs of McGill University, and
Xiaofei Li of York University
(565K PDF) -- 53 pages -- January 2004

Equity Volatility and Corporate Bond Yields
by John Y. Campbell of Harvard University, and
Glen B. Taksler of Harvard University
(438K PDF) -- 30 pages -- December 2003

Pricing the Risk of Default: Are Bonds Enough?
by Daniel Gomez of the University of Lausanne, and
Boris Nikolov of the University of Lausanne
(467K PDF) -- 71 pages -- October 19, 2003

Pricing and Hedging of Credit Risk: Replication and Mean-Variance Approaches
by Tomasz R. Bielecki of the Illinois Institute of Technology, and
Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of the Wareaw University of Technology
(306K PDF) -- 25 pages -- October 18, 2003

Explaining Credit Spread Changes: New Evidence from Option-Adjusted Bond Indexes
by Jing-zhi Huang of New York University, and
Weipeng Kong of Pennsylvania State University
(154K PDF) -- 15 pages -- Fall 2003

Information Precision and the Term Structure of Credit Spreads: An Empirical Examination
by Inder K. Khurana of the University of Missouri,
Ali Nejadmaleyeri of the University of Nevada – Reno, and
Raynolde Pereira of the University of Missouri
(229K PDF) -- 27 pages -- September 6, 2003

Bond Pricing with Default Risk
by Jason C. Hsu of the University of California, Los Angeles,
Jesús Saá-Requejo of Banco Bilbao Vizcaya, and
Pedro Santa-Clara of the University of California, Los Angeles
(318K PDF) -- 57 pages -- September 2003

Structural Models of Corporate Bond Pricing: An empirical analysis
by Young Ho Eom of Yonsei University,
Jean Helwege of Ohio State University, and
Jing-zhi Huang of Penn State University
(319K PDF) -- 46 pages -- Summer 2004

Explaining Credit Spread Changes: Some New Evidence from Option-Adjusted Spreads of Bond Indices
by Jing-zhi Huang of New York University, and
Weipeng Kong of Penn State University
(836K PDF) -- 34 pages -- June 2003

Pricing Collateralized Swaps
by Michael Johannes of Columbia University, and
Suresh Sundaresan of Columbia University
(377K PDF) -- 49 pages -- May 29, 2003

How Much of the Corporate-Treasury Yield Spread is Due to Credit Risk?
by Jing-zhi Huang of Pennsylvania State University, and
Ming Huang of Stanford University
(418K PDF) -- 57 pages -- May 2003

A General Framework for Pricing Credit Risk
by Alain Bélanger of Scotia Capital,
Steven E. Shreve of Carnegie Mellon University, and
Dennis Wong of Bank of America Corporation
(313K PDF) -- 40 pages -- April 16, 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

Pricing Corporate Bonds with Dynamic Default Barriers
by Cho-Hoi Hui of the Hong Kong Monetary Authority,
Chi-Fai Lo of the Chinese University of Hong Kong, and
Shun-Wai Tsang of the Chinese University of Hong Kong
(202K PDF) -- 22 pages -- Spring 2003

Testing Merton's Model for Credit Spreads on Zero-Coupon Bonds
by Gordon Gemmill of the City University Business School
(83K PDF) -- 28 pages -- March 2003

The Valuation of Corporate Liabilities: Theory and Tests
by Jan Ericsson of McGill University, and
Joel Reneby of the Stockholm School of Economics
(698K PDF) -- 61 pages -- January 7, 2003

Valuing Corporate Liabilities When the Default Threshold is not an Absorbing Barrier
by Franck Moraux of the Université de Rennes
(343K PDF) -- 37 pages -- 2003

Which Factors Affect Corporate Bond Pricing? Evidence from Eurobonds Primary Market Spreads
by Andrea Sironi of Bocconi University, and
Giampaolo Gabbi of the Universita di Siena
(182K PDF) -- 48 pages -- September 2002

Fixed Income Pricing
by Qiang Dai of New York University, and
Kenneth Singleton of Stanford University
(455K PDF) -- 49 pages -- July 1, 2002

A Model for Pricing Stocks and Bonds with Default Risk
by Harry Mamaysky of the Yale School of Management
Downloadable via SSRN -- May 2, 2002

How Downward-Sloping are Demand Curves for Credit Risk?
by Yigal S. Newman of Stanford University, and
Michael A. Rierson of Stanford University
(642K PDF) -- 53 pages -- April 5, 2002

Term Structure Dynamics in Theory and Reality
by Qiang Dai of New York University, and
Kenneth Singleton of Stanford University
(519K PDF) -- 46 pages -- April 2, 2002

Is Default Event Risk Priced in Corporate Bonds?
by Joost Driessen of the University of Amsterdam
(275K PDF) -- 48 pages -- March 2002

The Components of Corporate Credit Spreads: Default, Recovery, Tax, Jumps, Liquidity, and Market Factors
by Gordon Delianedis of UCLA, and
Robert Geske of UCLA
(249K PDF) -- 40 pages -- December 2001

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

Do Credit Spreads Reflect Stationary Leverage Ratios?
by Pierre Collin-Dufresne of Carnegie Mellon University, and
Robert S. Goldstein of Washington University, St. Louis
(410K PDF) -- 30 pages -- October 2001

Counterparty Risk and the Pricing of Defaultable Securities
by Robert A. Jarrow of Cornell University, and
Fan Yu of University of California at Irvine
(628K PDF) -- 44 pages -- October 2001

The Joint Estimation of Term Structures and Credit Spreads
by Patrick Houweling of Rabobank Int'l & the University Rotterdam,
Jaap Hoek of Robeco Group,
Frank Kleibergen of Erasmus University Amsterdam
(387K PDF) -- 27 pages -- July 2001

The Dynamics of Corporate Credit Spreads
by Fred Joutz of George Washington University,
Sattar A. Mansi of Texas Tech University, and
William F. Maxwell of Texas Tech University
(133K PDF) -- 37 pages -- May 2001

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

Explaining the Rate Spread on Corporate Bonds
by Edwin J. Elton of New York University,
Martin J. Gruber of New York University,
Deepak Agrawal of New York University, and
Christopher Mann of New York University
(224K PDF) -- 32 pages -- February 2001

A LIBOR Market Model with Default Risk
by Philipp J. Schönbucher of Bonn University
(254K PDF) -- 30 pages -- December 2000

Term Structures of Credit Spreads with Incomplete Accounting Information
by Darrell Duffie of Stanford University, and
David Lando of the University of Copenhagen,
(248K PDF) -- 40 pages -- August 24, 2000

Factors Affecting the Yields on Noninvestment Grade Bond Indices: a cointegration analysis
by Theodore M. Barnhill, Jr. of George Washington University,
Frederick L. Joutz of George Washington University, and
William F. Maxwell of Texas Tech University
(213K PDF) -- 30 pages -- May 2000

Corporate Bonds: Valuation, Hedging, and Optimal Call and Default Policies
by Viral V. Acharya of the New York University, and
Jennifer N. Carpenter of the New York University
(408K PDF) -- 54 pages -- February 18, 2000

Floating-Fixed Credit Spreads
by Darrell Duffie of Stanford University, and
Jun Liu of Stanford University
(265K PDF) -- 23 pages -- December 20, 1999

Default Premia on European Government Debt
by Ingunn M. Lønning 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

Convertible Bonds with Market Risk and Credit Risk
by Mark Davis of the Imperial College (London), and
Fabian R. Lischka of Tokyo-Mitsubishi International plc.
(249K PDF) - 16 pages - October 10, 1999

Modelling European Credit Spreads
by Jan Annaert of the Erasmus University Rotterdam and University of Antwerp, and
Marc J.K. De Ceuster University of Antwerp – UFSIA
(425K PDF) -- 56 pages -- September 1999

A Model of Corporate Bond Prices with Dynamic Capital Structure
by Miikka Taurén of Indiana University
(569K PDF) -- 51 pages -- April 19, 1999

A Comparison of Bond Pricing Models in the Pricing of Credit Risk
by Miikka Taurén of Indiana University
(473K PDF) -- 53 pages -- March 10, 1999

A Hidden Markov Chain Model for the Term Structure of Bond Credit Risk Spreads
by Lyn C. Thomas of the University of Edinburgh,
David E. Allen of Edith Cowan University, and
Nigel Morkel-Kingsbury of Edith Cowan University
(166K PDF) -- 28 pages -- March 1999

Modeling Term Structures of Defaultable Bonds
by Darrell Duffie of Stanford University, and
Kenneth J. Singleton of Stanford University & NBER
(485K PDF) -- 46 pages -- February 4, 1999

Swap Pricing with Two-Sided Default Risk in a Rating-Based Model
by Brian Huge of the University of Copenhagen, and
David Lando of the University of Copenhagen
(169K PDF) -- 30 pages -- January 1999

Valuation Models for Default-Risky Securities: An Overview
by Saikat Nandi of the Federal Reserve Bank of Atlanta
(199K PDF) -- 14 pages -- Q4 1998

Credit Spreads and Interest Rates: A Cointegration Approach
by Charles Morris of the Federal Reserve Bank of Kansas City,
Robert Neal of Indiana University, and
Doug Rolph of the University of Washington
(212K PDF) -- 47 pages -- December 1998

A Framework for Valuing Corporate Securities
by Jan Ericsson of the Catholic University of Louvain, and
Joel Reneby of the Stockholm School of Economics
(478K PDF) -- 25 pages -- October 1998

Defaultable Term Structure Models with Fractional Recovery of Par
by Darrell Duffie of Stanford University
(297K PDF) -- 27 pages -- August 18, 1998

The Valuation of Default Risk in Corporate Bonds and Interest Rate Swaps
by Soren S. Nielsen of the University of Texas at Austin, and
Ehud I. Ronn of the University of Texas at Austin
(261K PDF) -- 26 pages -- July 9, 1998

The Term Structure of Credit Risk: Estimates and Specification Tests
by Robert E. Cumby of Georgetown University, and
Martin D.D. Evans of Georgetown University
(298K PDF) -- 27 pages -- May 1997

Estimating the price of default risk
by Gregory R. Duffee of the Federal Reserve Board of Governors
(701K PDF) -- 43 pages -- July 1996

Treasury yields and corporate bond yield spreads: An empirical analysis
by Gregory R. Duffee of the Federal Reserve Board of Governors
(519K PDF) -- 35 pages -- May 1996

Swap Rates and Credit Quality: Supplementary Results
by Darrell Duffie of Stanford University, and
Ming Huang of Stanford University
(354K PDF) -- 41 pages -- March 31, 1995

The Direct Approach to Debt Option Pricing
by Sven Rady of the London School of Economics, and
Klaus Sandmann of the Rheinische Friedrich-Wilhelms-Universität Bonn
(765K PDF) -- 29 pages -- March 22, 1995

Bond Prices, Yield Spreads, and Optimal Capital Structure with Default Risk
by Hayne Leland of the University of California at Berkeley
(3,608K PDF) -- 55 pages -- January 1995

Additional References (sorted by author)

Ahn, Dong-Hyun and Bin Gao, "A Parametric Nonlinear Model of Term Structure Dynamics", Review of Financial Studies, Vol. 12, No. 4, (Special 1999), pp. 721-62. [Abstract]

Anderson, Ronald and Suresh Sundaresan, "A Comparative Study of Structural Models of Corporate Bond Yields: An exploratory investigation", Journal of Banking & Finance, Vol. 24, No. 1, (January 2000), pp. 255-269. [Abstract]

Barclay, Michael J. and Clifford W. Smith, Jr., "The Maturity Structure of Corporate Debt", Journal of Finance, Vol. 50, No. 2, (June 1995), pp. 609-631. [Abstract]

Barone, Emilio, Giovanni Barone-Adesi, and Antonio Castagna, "Pricing Bonds and Bond Options with Default Risk", European Financial Management, Vol. 4, No. 2, (July 1998), pp. 231-282. [Abstract]

Black, Fischer and John C. Cox, "Valuing Corporate Securities: Some Effects of Bond Indenture Provisions", Journal of Finance, Vol. 31, No. 2, (May 1976), pp. 351-367. [Abstract]

Black, Fischer and Myron Scholes, "The Pricing of Option and Corporate Liabilities", Journal of Political Economy, Vol. 81, No. 3, (May/June 1973), pp. 637-654. [Abstract]

Brockman, Paul and H. J. Turtle, "A Barrier Option Framework for Corporate Security Valuation", Journal of Financial Economics, Vol. 67, No. 3, (March 2003), pp. 511-29. [Abstract]

Briys, Eric and Francois de Varenne, "Valuing Risky Fixed Rate Debt: An Extension", Journal of Financial and Quantitative Analysis, Vol. 32, No. 2, (June 1997), pp. 239-248. [Abstract]

Chang, Eric C. and Roger D. Huang, "Time-Varying Return and Risk in the Corporate Bond Market", Journal of Financial and Quantitative Analysis, Vol. 25, No. 3, (September 1990), pp. 323-340. [Abstract]

Collin-Dufresne, Pierre , Robert S. Goldstein, and J. Spencer Martin, "The Determinants of Credit Spread Changes", Journal of Finance, Vol. 56, No. 6, (December 2001), pp. 2177-2207. [Abstract]

Collin-Dufresne, Pierre, Robert S. Goldstein, and Julien Hugonnier, "A General Formula for Pricing Defaultable Claims", Econometrica, Vol. 72, No. 5 (September 2004), pp. 1377-1407. [Abstract]

Collin-Dufresne, Pierre and Bruno Solnik, "On the Term Structure of Default Premia in the Swap and LIBOR Markets", Journal of Finance, Vol. 56, No. 3, (June 2001), pp. 1095-1115. [Abstract]

Cook, Douglas O. and Lewis J. Spellman, "Firm and Guarantor Risk, Risk Contagion, and the Interfirm Spread among Insured Deposits", Journal of Financial and Quantitative Analysis, Vol. 31, No. 2, (June 1996), pp. 265-281. [Abstract]

Cooper, Ian A. and Antonio S. Mello, "The Default Risk of Swaps", Journal of Finance, Vol. 46, No. 2, (June 1991), pp. 597-620. [Abstract]

Cossin, Didier and Hugues Pirotte, "How Well do Classical Credit Risk Pricing Models Fit Swap Transaction Data?", European Financial Management, Vol. 4, No. 1, (March 1998), pp. 65-77. [Abstract]

Duffee, Gregory R., "The Relation Between Treasury Yields and Corporate Bond Yield Spreads", Journal of Finance, Vol. 53, No. 6, (December 1998), pp. 2225-2241. [Abstract]

Darrel, Duffie, Mark Schroder, and Costis Skiadas, "Recursive Valuation of Defaultable Securities and the Timing of Resolution of Uncertainty", Annals of Applied Probability, Vol. 6, No. 4, (November 1996), pp. 1075-1090. [Abstract]

Duffie, Darrell and Kenneth J. Singleton, "An Econometric Model of the Term Structure of Interest-Rate Swap Yields", Journal of Finance, Vol. 52, No. 4, (September 1997), pp. 1287-1321. [Abstract]

Eberhart, Allan C., "A Comparison of Merton's Option Pricing Model of Corporate Debt Valuation to the Use of Book Values", Journal of Corporate Finance, Vol. 11, No. 1-2, (March 2005), pp. 401-426. [Abstract]

Fons, Jerome S., "Using Default Rates to Model the Term Structure of Credit Risk", Financial Analysts Journal, Vol. 50, No. 5, (September/October 1994), pp. 25-33. [Abstract]

Fons, Jerome S., "The Default Premium and Corporate Bond Experience", Journal of Finance, Vol. 42, No. 1, (March 1987), pp. 81-97. [Abstract]

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