The term structure of credit spreads with jump risk

By Chunsheng Zhou. 2001

535 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/f40928f7c04d09bda8f5d997f98432a3bd5d87dc

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Citations in the corpus

A Simple Robust Link between American Puts and Credit Protection (2011, unknown): “…(1997), Mella-Barral and Perraudin (1997), Garbade (1999), Fan and Sundaresan (2000), Duffie and Lando (2001), Goldstein, Ju, and Leland (2001), Zhou (2001), Acharya and Carpenter (2002), Huang and Huang (2003), Hull, Nelken, and White (2004), Bhamra, Kuehn, and Strebulaev (2010), Buraschi,…”
Issues in the Credit Risk Modeling of Retail Markets (2004, unknown): “See Duffie and Lando (2001), Zhou (1997), and Zhou (2001).”
The Valuation of Correlation-Dependent Credit Derivatives Using a Structural Model (2010, unknown): “Zhou (2001b) provides exact analytic results for the joint probability of default of two companies under the Black and Cox (1976) structural model.”
Regime dependent determinants of credit default swap spreads (2008, background): “In structural credit risk models (for instance Merton, 1974; Black and Cox, 1976; Longstaff and Schwartz, 1995; or Zhou, 2001) default is triggered when the firm value falls below a certain threshold, which is commonly modelled as an increasing function of firm leverage.”
Realized Jumps on Financial Markets and Predicting Credit Spreads (2006, result): “Jump risk has been proposed before as a possible source of the credit premium puzzle (Delianedis and Geske, 2001; Zhou, 2001; Huang and Huang, 2003), but the empirical validation in the literature has met with mixed and inconclusive results (Collin-Dufresne et al., 2001, 2003; Cremers et al., 2004,…”
Default and Information (2006, unknown): “If we allow for jumps in V as for example in Zhou (2001), then assets can continuously ‘diffuse’ to the default barrier or cross it with a sudden jump.”
The Link between Default and Recovery Rates: Implications for Credit Risk Models and Procyclicality (2002, background): “6 A recent attempt to combine the advantages of structural-form models – a clear economic mechanism behind the default process - and the ones of reduced-form models – unpredictability of default - can be found in Zhou (2001).”
Accounting Transparency and the Term Structure of Credit Spreads (2005, background): “An exception is when firm value contains a jump component [see Zhou (2001)].”
Credit Risk Modeling Using Time-Changed Brownian Motion (2009, methodology): “Black-Cox style structural credit models using jump-diffusion processes to model the firm value have been studied in [32, 31].”
Stochastic Volatility Effects on Defaultable Bonds (2006, background): “These include the introduction of jumps, (Boyarchenko, Year?; Hilberink and Rogers, 2002; Zhou, 2001), stochastic interest rates (Longstaff and Schwartz, 1995), or imperfect information on X (Duffie and Singleton, 2003; Duffie and Lando, 2001).”