Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model
By Martijn Cremers, Joost Driessen, Pascal J. Maenhout. 2008
242 citations recorded by the source corpus.
Subfields: Finance
View Paper: https://www.semanticscholar.org/paper/9e0a4f27e557e3f2700f5f815431aef69ab1e8c8
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In Finance
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Citations in the corpus
- Liquidity Risk Premia in Corporate Bond Markets (2012, unknown): “Fleming (2003) compares several proxies for Treasury market liquidity and concludes that the quoted spread is the best commonly available measure to track changes in Treasury bond liquidity.”
- The Levered Equity Risk Premium and Credit Spreads: A Unified Framework (2010, unknown): “Recent empirical work by Cremers, Driessen, and Maenhout (2008), Zhang et al. (2008), and Tauchen and Zhou (2006) finds that an important determinant of credit spreads is the jump-component of stock return volatility.”
- Market Conditions, Default Risk and Credit Spreads (2010, unknown): “Empirically, we measure jump risk using the slope of implied volatility over strike prices (the ‘‘smile”) for S&P 500 index options, following Cremers et al. (2008). Putting these implications together, the hypothesis we will test regarding the effect of the market risk on credit spreads can be summ”
- A Simple Robust Link between American Puts and Credit Protection (2011, background): “…(2002), Huang and Huang (2003), Hull, Nelken, and White (2004), Bhamra, Kuehn, and Strebulaev (2010), Buraschi, Trojani, and Vedolin (2007), Gray, Merton, and Bodie (2007), Chen, Collin-Dufresn , and Goldstein (2009), Cremers, Driessen, and Maenhout (2008), and Gray, Merton, and Bodie (2009).”
- Economic Catastrophe Bonds (2009, background): “For example, in order to t the data, Cremers et al. (2007) need bankruptcy costs to be approximately equal to 50% of the terminal asset value.13 With this auxiliary assumption, the random state-contingent payo¤ of an equally-weighted portfolio of N bonds expressed as a fraction of the par value of…”
- Individual Stock-Option Prices and Credit Spreads (2008, unknown): “Please see Cremers et al. (2008).”