A Comparative Study of Structural Models of Corporate Bond Yields: An Exploratory Investigation

By Ronald W. Anderson, Suresh Sundaresan. 2000

164 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/e5235e0cdd8bc4d63e352fc9224c723b68750e80

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Citations in the corpus

Measuring and Managing Credit Risk (2004, background): “An interesting contribution is that of Anderson and Sundaresan (2000), who estimate several structural models (including a strategic model20) on aggregate U.S. Aaa and Baa yield indices over the period 1970–1996.”
Structural Models of Corporate Bond Pricing: An Empirical Analysis (2004, unknown): “6 The other implementations of structural bond pricing models are found in Wei and Guo (1997) and Anderson and Sundaresan (2000), who implement the M and/or LS models using aggregate data, and Ericsson and Reneby (2001) who implement a perpetual bond model considered in Black and Cox (1976). rates…”
Pricing Vulnerable Options with Correlated Credit Risk Under Jump‐Diffusion Processes (2014, methodology): “Moreover, we derive an explicit pricing formula of 2Examples of structural approach include Black and Scholes (1973), Merton (1976), Black and Cox (1976), Leland (1994), Longstaff and Schwartz (1995), Leland and Toft (1996), and Anderson and Sundaresan (2000).”
Nonperforming Loans in the GCC Banking System and Their Macroeconomic Effects (2010, background): “Authors who looked at asset-price evidence also found a linkage between credit risk increases and adverse macroeconomic conditions (Mueller, 2000; Anderson and Sundaresan, 2000; Collin-Dufresne and Goldstein, 2001).4 3 Macro stress-testing refers to a range of techniques used to assess the…”
An Analysis of the Determinants of Credit Default Swap Spread Changes Before and During the Subprime Financial Turmoil (2010, background): “To the best of our knowledge, only Annaert et al. (2009) and Raunig and Scheicher (2009) analyze the period following the onset of the current financial turmoil in July 2007, but they focus on the banking sector.”
Performance-Sensitive Debt (2010, background): “cludes Anderson and Sundaresan (2000), Huang and Huang (2003), and Eom, Helwege, and Huang (2004).”
What Determines Euro Area Bank CDS Spreads (2010, background): “3 Credit spreads can be inferred from corporate bond markets.1 Empirical research, however, revealed that expected default losses only account for a small fraction of observed credit spreads (Anderson & Sundaresan (2000), Delianedis & Geske (2001), Huang & Huang (2003)).”
Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt (2010, unknown): “Anderson and Sundaresan (1996), Huang and Huang (2003), and Berndt et al.”
A Survey of Cyclical Effects in Credit Risk Measurement Models (2002, unknown): “Moreover, Anderson and Sundaresan (2000) use economy-wide measures of asset volatility and profitability in order to compute a cyclical leverage ratio that results in increases (decreases) in EAD during macroeconomic downturns (upturns).”