Default Parameter Estimation Using Market Prices

By Robert A. Jarrow. 2001

229 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/86225d8cc429d6c68824364b4afdafccdca07a2f

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Edward I. Altman
2. Xin Huang
3. Hao Zhou
4. Haibin Zhu
5. Andrea Resti
6. A. Sironi
7. Brooks Brady
8. Leif Andersen

In Finance

1. Edward I. Altman
2. Hao Zhou
3. Xin Huang
4. Haibin Zhu
5. A. Sironi
6. Andrea Resti
7. Brooks Brady
8. Yan Yu

Citations in the corpus

• Extensions to the Gaussian Copula: Random Recovery and Random Factor Loadings (2005, background): “Models for stochastic recovery rates have been proposed by a number of authors, see Frye (2000), Jarrow (2001), Jokivuolle and Peura (2000), and Pykhtin (2003).”
• A Survey of Cyclical Effects in Credit Risk Measurement Models (2002, unknown): “INSERT TABLE 4 AROUND HERE Crouhy, Galai and Mark (2000, 2001) also find that the most speculative risk classifications’ default probabilities are most sensitive to shifts in macroeconomic conditions.”
• CREDIT RISK MODELING AND VALUATION: AN INTRODUCTION (2004, unknown): “Giesecke & Goldberg (2004a) apply the reasoning in Jarrow (2001) to cal- ibrate the I2 model.”
• Structural Models of Corporate Bond Pricing: An Empirical Analysis (2004, unknown): “20 See, for example, Huang and Huang (2002) and Janosi, Jarrow, and Yildirim (2002) on recent attempts to estimate how much of the corporate bond yield spread is due to credit risk.”
• A framework for assessing the systemic risk of major financial institutions (2009, background): “One approach estimates it directly from historical data on defaults (Daniels et al. (2005), Jarrow (2001), Das et al. (2007), and Duffie et al. (2008)).”
• Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model (2004, background): “2002) and the regulatory-inducedneed to account for credit risk in the determination of equity capital (net worth of a business raised from owners), for example, Jarrow and Turnbull (2000), the estimation of corporate term structures has become of paramount interest.”
• The Link between Default and Recovery Rates: Implications for Credit Risk Models and Procyclicality (2002, methodology): “Jarrow (2001) presents a new methodology for estimating RRs and PDs implicit in both debt and equity prices.”
• The Link between Default and Recovery Rates: Theory, Empirical Evidence and Implications (2003, methodology): “Jarrow (2001) presents a new methodology for estimating RRs and PDs implicit in both debt and equity prices.”