Is Default Event Risk Priced in Corporate Bonds

By Joost Driessen. 2003

584 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/ec8a184a668679828acc0bd4c5f06f51aae91a3f

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Citations in the corpus

Performance-Sensitive Debt (2010, unknown): “Ratings thresholds are computed by inversion of smoothed 1-year risk-neutral default probabilities taken from Driessen (2005).”
Semi-Analytical Valuation of Basket Credit Derivatives in Intensity-Based Models (2005, background): “…application documents that the intensity model fits the market 4Important empirical applications of intensity-based models include Duffee (1999) and Driessen (2004) on corporate bonds as well as Longstaff, Mithal, and Neis (2004) on CDSs. 5Besides that, standard implementations of the analytical…”
The Credit Spread Puzzle (2003, methodology): “Sources: Driessen (2003); Elton et al (2001).”
A framework for assessing the systemic risk of major financial institutions (2009, background): “(13)Driessen et al. (2006) derive a market-based, forward-looking correlation measure from the option market.”
Tepper School of Business 7-2008 Measuring Default Risk Premia from Default Swap Rates and EDFs (2007, unknown): “Driessen (2005) estimated the relationship between actual and risk-neutral default probabilities, using U.”
Measuring and Managing Credit Risk (2004, methodology): “He then computes default parameters from the estimated average parameters of intensities reported in Duffee (1999) and Driessen (2002) using Equations (5-35) and (5-36).”
On the Relation between the Credit Spread Puzzle and the Equity Premium Puzzle (2009, unknown): “(2001), Leland (2004), Geske and Delianedis (2003), Driessen (2005), Feldhutter and Lando (2008), Ericsson and Renault (2006), Longstaff, Mithal, and Neis (2005), and Chen, Lesmond, and Wei (2007). 2 This firm is presumed to have several other debt issuances outstanding, so default may occur before ”
Individual Stock-Option Prices and Credit Spreads (2008, unknown): “Liquidity as proxied by the difference between the 30- day Eurodollar and the Treasury yield matters only for short-term bonds, which is sensible and in line with e.g. Janosi, Jarrow and Yildirim (2002) and Driessen (2005).”
The Cross-Section of Credit Risk Premia and Equity Returns (2013, unknown): “…accounting for the likelihood of default because of priced tax and liquidity effects as well as risk premia that compensate for bearing credit risk; see, e.g., Elton et al. (2001), Huang and Huang (2012), Driessen (2005), Longstaff, Mithal, and Neis (2005), and Ericsson, Reneby, and Wang (2007).”
Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model (2008, background): “16See for instance Chen, Lesmond, and Wei (2005) and De Jong and Driessen (2005). that equals the face value of the debt during the 10-year maturity period, we can directly value (hypothetical) bonds with shorter maturities.”
Corporate Bond Default Risk: A 150-Year Perspective (2011, unknown): “For example, Driessen (2005) estimates the ratio of the risk–neutral and actual intensities for a sample of 104 U.S. firms for the 1991–2000 period. He finds that the ratio for AA-rated, A-rated, and BBB-rated firms are 1.83, 2.61, and 2.37, respectively. Similarly, Berndt, Douglas, Duffie, Ferguson”