Credit Risk and Risk Neutral Default Probabilities: Information About Rating Migrations and Defaults

By Gordon Delianedis, R. Geske. 2003

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Avoiding the rating bounce: why rating agencies are slow to react to new information (2005, methodology): “Delianedis and Geske (1999) show that rating changes lag changes in default probabilities. Their evidence is in line with previous findings that stock prices and stock analyst forecasts predict rating changes (e.g. Holthausen and Leftwich, 1986, and Ederington and Goh, 1998). Extant normative or des”
Cross-Border Bank Contagion in Europe (2012, unknown): “Finally, we used the government bond rates as the risk-free rates, r. 23 See KMV Corporation (2002), Vassalou and Xing (2004), Eom et al. (2004), Delianedis and Geske (2003), Bharath and Shumway (2004) for a similar derivation and more ample discussions.”
Structural Models of Corporate Bond Pricing: An Empirical Analysis (2004, unknown): “These include Sarig and Warga (1989), Helwege and Turner (1999), and He, Hu, and Lang (2000) on the shape of the credit yield curve; Delianedis and Geske (1998) on bond rating changes; CollinDufresne, Goldstein, and Martin (2001) and Elton et al.”
Tepper School of Business 7-2008 Measuring Default Risk Premia from Default Swap Rates and EDFs (2007, unknown): “Bohn (2000), Delianedis and Geske (1998), G. Delianedis Geske and Corzo (1998), and Huang and Huang (2000) use structural approaches to estimating the relationship between actual and risk-neutral default probabilities, generally assuming that the Black-Scholes-Merton model applies to the asset…”