On the public citation graph

The Economic Role of Jumps and Recovery Rates in the Market for Corporate Default Risk

https://doi.org/10.1017/s0022109010000554

0 signed · 143 inferred · view as graph

Inferred edges come from two machine sources: sweeps of open repository metadata (mostly SSRN and Zenodo), and a bulk OpenAlex citation snapshot. Every row below is labelled with the one it came from. Neither is a complete citation index — absence here is not evidence of absence.

Is this your work? Sign in with ORCID and put your name on the claims that are yours.

Claim with ORCID

Reference health. See whether every reference in this work resolves to a known work and none has been retracted — and get a dated CiteStamped badge you can embed.

See reference health

What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/3-540-34604-xopenalex-snapshot

Interest rate models : theory and practice : with smile, inflation and credit

inferredcites →https://doi.org/10.1007/978-3-662-04553-4openalex-snapshot

Interest Rate Models Theory and Practice

inferredcites →https://doi.org/10.1007/978-3-662-05265-5openalex-snapshot

Limit Theorems for Stochastic Processes

inferredcites →https://doi.org/10.1007/978-4-431-65895-5_5openalex-snapshot

A Remark on default risk models

inferredcites →https://doi.org/10.1007/978-4-431-92935-2openalex-snapshot

Advances in Mathematical Economics

inferredcites →https://doi.org/10.1007/bf01531332openalex-snapshot

On cox processes and credit risky securities

inferredcites →https://doi.org/10.1007/s00780-004-0131-xopenalex-snapshot

Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model

inferredcites →https://doi.org/10.1016/b978-0-444-53548-1.50003-9openalex-snapshot

MCMC Methods for Continuous-Time Financial Econometrics

inferredcites →https://doi.org/10.1016/j.jbankfin.2009.04.009openalex-snapshot

Recovery rates, default probabilities, and the credit cycle

inferredcites →https://doi.org/10.1016/j.jfineco.2005.09.008openalex-snapshot

Market price of risk specifications for affine models: Theory and evidence☆

inferredcites →https://doi.org/10.1016/j.jfineco.2005.10.011openalex-snapshot

Multi-period corporate default prediction with stochastic covariates

inferredcites →https://doi.org/10.1016/j.jfineco.2006.05.011openalex-snapshot

Does industry-wide distress affect defaulted firms? Evidence from creditor recoveries

inferredcites →https://doi.org/10.1016/j.jfineco.2006.06.001openalex-snapshot

Good and bad credit contagion: Evidence from credit default swaps☆

inferredcites →https://doi.org/10.1016/j.jfineco.2007.07.004openalex-snapshot

Decomposing swap spreads

inferredcites →https://doi.org/10.1016/j.jfineco.2008.06.007openalex-snapshot

Can interest rate volatility be extracted from the cross section of bond yields?☆

inferredcites →https://doi.org/10.1016/j.jfineco.2010.05.004openalex-snapshot

Estimating affine multifactor term structure models using closed-form likelihood expansions☆

inferredcites →https://doi.org/10.1016/j.jimonfin.2005.08.009openalex-snapshot

Pricing default swaps: Empirical evidence

inferredcites →https://doi.org/10.1016/s0304-405x(00)00046-5openalex-snapshot

A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation

inferredcites →https://doi.org/10.1016/s0304-4076(03)00108-8openalex-snapshot

Alternative models for stock price dynamics

inferredcites →https://doi.org/10.1017/s0022109000002775openalex-snapshot

An Explicit, Multi-Factor Credit Default Swap Pricing Model with Correlated Factors

inferredcites →https://doi.org/10.1023/b:eufi.0000035191.62455.32openalex-snapshot

Measuring Systematic Risk in EMU Government Yield Spreads

inferredcites →https://doi.org/10.1086/497044openalex-snapshot

The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications*

inferredcites →https://doi.org/10.1086/503653openalex-snapshot

Investigating the Role of Systematic and Firm‐Specific Factors in Default Risk: Lessons from Empirically Evaluating Credit Risk Models*

inferredcites →https://doi.org/10.1093/jjfinec/nbi022openalex-snapshot

Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation

inferredcites →https://doi.org/10.1093/jjfinec/nbp010openalex-snapshot

Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation

inferredcites →https://doi.org/10.1093/rfs/12.4.687openalex-snapshot

Modeling Term Structures of Defaultable Bonds

inferredcites →https://doi.org/10.1093/rfs/hhg014openalex-snapshot

Nonlinear Mean Reversion in the Short-Term Interest Rate

inferredcites →https://doi.org/10.1093/rfs/hhi009openalex-snapshot

Is Default Event Risk Priced in Corporate Bonds?

inferredcites →https://doi.org/10.1093/rfs/hhm056openalex-snapshot

Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics

inferredcites →https://doi.org/10.1093/rfs/hhn071openalex-snapshot

Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model

inferredcites →https://doi.org/10.1111/0022-1082.00278openalex-snapshot

Specification Analysis of Affine Term Structure Models

inferredcites →https://doi.org/10.1111/0022-1082.00389openalex-snapshot

Counterparty Risk and the Pricing of Defaultable Securities

inferredcites →https://doi.org/10.1111/1468-0262.00164openalex-snapshot

Transform Analysis and Asset Pricing for Affine Jump-diffusions

inferredcites →https://doi.org/10.1111/1540-6261.00426openalex-snapshot

Term Premia and Interest Rate Forecasts in Affine Models

inferredcites →https://doi.org/10.1111/1540-6261.00566openalex-snapshot

The Impact of Jumps in Volatility and Returns

inferredcites →https://doi.org/10.1111/j.0391-5026.2004.00129.xopenalex-snapshot

Default Recovery Rates in Credit Risk Modelling: A Review of the Literature and Empirical Evidence

inferredcites →https://doi.org/10.1111/j.0960-1627.2005.00208.xopenalex-snapshot

DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS

inferredcites →https://doi.org/10.1111/j.1467-9965.1996.tb00123.xopenalex-snapshot

A YIELD‐FACTOR MODEL OF INTEREST RATES

inferredcites →https://doi.org/10.1111/j.1468-0262.2004.00538.xopenalex-snapshot

A General Formula for Valuing Defaultable Securities

inferredcites →https://doi.org/10.1111/j.1540-6261.1991.tb03775.xopenalex-snapshot

The Crash of ʼ87: Was It Expected? The Evidence from Options Markets

inferredcites →https://doi.org/10.1111/j.1540-6261.1995.tb05167.xopenalex-snapshot

Pricing Derivatives on Financial Securities Subject to Credit Risk

inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb02749.xopenalex-snapshot

Empirical Performance of Alternative Option Pricing Models

inferredcites →https://doi.org/10.1111/j.1540-6261.2004.00666.xopenalex-snapshot

Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices

inferredcites →https://doi.org/10.1111/j.1540-6261.2005.00797.xopenalex-snapshot

Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market

inferredcites →https://doi.org/10.1111/j.1540-6261.2007.01241.xopenalex-snapshot

Model Specification and Risk Premia: Evidence from Futures Options

inferredcites →https://doi.org/10.1111/j.1540-6261.2008.01331.xopenalex-snapshot

Identification of Maximal Affine Term Structure Models

inferredcites →https://doi.org/10.1111/j.1540-6261.2008.01399.xopenalex-snapshot

Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads

inferredcites →https://doi.org/10.1111/j.1540-6321.2004.00632.xopenalex-snapshot

The Statistical and Economic Role of Jumps in Continuous‐Time Interest Rate Models

inferredcites →https://doi.org/10.1142/9789812819222_0019openalex-snapshot

DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS

inferredcites →https://doi.org/10.1142/s0219024906003597openalex-snapshot

THE STOCHASTIC INTENSITY SSRD MODEL IMPLIED VOLATILITY PATTERNS FOR CREDIT DEFAULT SWAP OPTIONS AND THE IMPACT OF CORRELATION

inferredcites →https://doi.org/10.1142/s2010139212500085openalex-snapshot

Estimation of Dynamic Term Structure Models

inferredcites →https://doi.org/10.1201/9780203485217openalex-snapshot

Financial Modelling with Jump Processes

inferredcites →https://doi.org/10.1201/9781584889953-17openalex-snapshot

& Investigating the Role of Systematic and Firm-Speciﬁc Factors in Default Risk: Lessons from Empirically Evaluating Credit Risk Models

inferredcites →https://doi.org/10.1214/aoap/1035463324openalex-snapshot

Recursive valuation of defaultable securities and the timing of resolution of uncertainty

inferredcites →https://doi.org/10.1214/aoap/1060202833openalex-snapshot

Affine processes and applications in finance

inferredcites →https://doi.org/10.17016/feds.2001.37openalex-snapshot

Understanding the Role of Recovery in Default Risk Models: Empirical Comarisons and Implied Recovery Rates

inferredcites →https://doi.org/10.17016/feds.2003.25openalex-snapshot

What Did the Credit Market Expect of Argentina Default? Evidence from Default Swap Data

inferredcites →https://doi.org/10.2139/ssrn.1008325openalex-snapshot

Liquidity and Credit Default Swap Spreads

inferredcites →https://doi.org/10.2139/ssrn.1542848openalex-snapshot

Is Credit Event Risk Priced? Modeling Contagion Via the Updating of Beliefs

inferredcites →https://doi.org/10.2139/ssrn.157733openalex-snapshot

Transform Analysis and Asset Pricing for Affine Jump-Diffusions

inferredcites →https://doi.org/10.2139/ssrn.249452openalex-snapshot

Default Risk and Diversification: Theory and Empirical Implications

inferredcites →https://doi.org/10.2139/ssrn.249764openalex-snapshot

The Impact of Jumps in Volatility and Returns

inferredcites →https://doi.org/10.2139/ssrn.285940openalex-snapshot

Understanding the Role of Recovery in Default Risk Models: Empirical Comparisons and Implied Recovery Rates

inferredcites →https://doi.org/10.2139/ssrn.442901openalex-snapshot

Does Industry-Wide Distress Affect Defaulted Firms? - Evidence from Creditor Recoveries

inferredcites →https://doi.org/10.2139/ssrn.556080openalex-snapshot

Measuring Default Risk Premia from Default Swap Rates and EDFs

inferredcites →https://doi.org/10.2139/ssrn.647862openalex-snapshot

Multi-Period Corporate Failure Prediction with Stochastic Covariates

inferredcites →https://doi.org/10.2139/ssrn.676420openalex-snapshot

Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model

inferredcites →https://doi.org/10.2139/ssrn.687203openalex-snapshot

Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads

inferredcites →https://doi.org/10.2139/ssrn.748005openalex-snapshot

Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation

inferredcites →https://doi.org/10.2139/ssrn.779445openalex-snapshot

Dynamic Interactions between Interest Rate, Credit, and Liquidity Risks: Theory and Evidence from the Term Structure of Credit Default Swap Spreads

inferredcites →https://doi.org/10.2139/ssrn.891263openalex-snapshot

Liquidity and Credit Default Swap Spreads

inferredcites →https://doi.org/10.2139/ssrn.892234openalex-snapshot

Approximations of Transition Densities for Nonlinear Multivariate Diffusions with an Application to Dynamic Term Structure Models

inferredcites →https://doi.org/10.2139/ssrn.950208openalex-snapshot

Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model

inferredcites →https://doi.org/10.2307/2290171openalex-snapshot

Limit Theorems for Stochastic Processes.

inferredcites →https://doi.org/10.2307/2329437openalex-snapshot

An Econometric Model of the Term Structure of Interest-Rate Swap Yields

inferredcites →https://doi.org/10.2469/faj.v52.n6.2040openalex-snapshot

Almost Everything You Wanted to Know about Recoveries on Defaulted Bonds

inferredcites →https://doi.org/10.3386/t0281openalex-snapshot

Affine Processes and Application in Finance

inferredcites →https://doi.org/10.3386/w10756openalex-snapshot

Can Interest Rate Volatility be Extracted from the Cross Section of Bond Yields? An Investigation of Unspanned Stochastic Volatility

inferredcites →https://doi.org/10.3386/w15733openalex-snapshot

Is Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs.

inferredcites →https://doi.org/10.3905/jfi.2002.319309openalex-snapshot

Recovery Assumptions in the Valuation of Credit Derivatives

inferredcites →https://doi.org/10.3905/jfi.2005.491110openalex-snapshot

Determinants of Recovery Rates on Defaulted Bonds and Loans for North American Corporate Issuers

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.1343513openalex-extracted

Flexing the Default Barrier

inferred← citeshttps://doi.org/10.2139/ssrn.1405706openalex-extracted

Is Recovery Risk Priced?

inferred← citeshttps://doi.org/10.2139/ssrn.1510191openalex-extracted

From Default Correlation to Implied Hazard Rate Densities

inferred← citeshttps://doi.org/10.2139/ssrn.1512858openalex-extracted

inferred← citeshttps://doi.org/10.2139/ssrn.1546422openalex-extracted

The Cross Section of Jumps around Earnings Announcements

inferred← citeshttps://doi.org/10.2139/ssrn.1726126openalex-extracted

inferred← citeshttps://doi.org/10.2139/ssrn.1734712openalex-extracted

Empirical Tests on the Credit Default Swap and Stock Markets During the Global Credit Crisis

inferred← citeshttps://doi.org/10.2139/ssrn.1786626openalex-extracted

What Determines Creditor Recoveries?

inferred← citeshttps://doi.org/10.2139/ssrn.1883101openalex-extracted

inferred← citeshttps://doi.org/10.2139/ssrn.2024374openalex-extracted

inferred← citeshttps://doi.org/10.2139/ssrn.2212089openalex-extracted

inferred← citeshttps://doi.org/10.2139/ssrn.2256929openalex-extracted

Parameter Estimation and Inference with Spatial Lags and Cointegration

inferred← citeshttps://doi.org/10.2139/ssrn.2449952openalex-extracted

What Makes the Market Jump?

inferred← citeshttps://doi.org/10.2139/ssrn.2613943openalex-extracted

The Credibility of European Banks’ Risk-Weighted Capital: Structural Differences or National Segmentations?

inferred← citeshttps://doi.org/10.2139/ssrn.2679520openalex-extracted

inferred← citeshttps://doi.org/10.2139/ssrn.2749664openalex-extracted

Credit Benchmarking, Risk Premium Adjustment Factors, and Credit Solvency Capital Requirements. A Recovery-Based Approach

inferred← citeshttps://doi.org/10.2139/ssrn.3005276openalex-extracted

Liquidity Premia in CDS Markets

inferred← citeshttps://doi.org/10.1007/978-3-319-30877-7_3openalex-snapshot

The Effect of Countries’ Credit Ratings on Credit Default Swap Spreads

inferred← citeshttps://doi.org/10.1007/978-3-319-93076-3_9openalex-snapshot

The Informational Content of CDS Spreads

inferred← citeshttps://doi.org/10.1016/j.frl.2023.104814openalex-snapshot

A note on the Gumbel convergence for the Lee and Mykland jump tests

inferred← citeshttps://doi.org/10.1016/j.ijforecast.2019.11.004openalex-snapshot

Bayesian loss given default estimation for European sovereign bonds

inferred← citeshttps://doi.org/10.1016/j.ins.2017.02.002openalex-snapshot

Financial and risk modelling with semicontinuous covariances

inferred← citeshttps://doi.org/10.1016/j.insmatheco.2016.10.004openalex-snapshot

A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches

inferred← citeshttps://doi.org/10.1016/j.iref.2015.07.006openalex-snapshot

The reward for trading illiquid maturities in credit default swap markets

inferred← citeshttps://doi.org/10.1016/j.irfa.2013.05.001openalex-snapshot

Hedging stock sector risk with credit default swaps

inferred← citeshttps://doi.org/10.1016/j.jbankfin.2013.07.024openalex-snapshot

Transatlantic systemic risk

inferred← citeshttps://doi.org/10.1016/j.jbankfin.2013.11.033openalex-snapshot

Is recovery risk priced?

inferred← citeshttps://doi.org/10.1016/j.jbankfin.2017.01.020openalex-snapshot

Loss given default adjusted workout processes for leases

inferred← citeshttps://doi.org/10.1016/j.jbankfin.2018.08.004openalex-snapshot

How do firms respond to empty creditor holdout in distressed exchanges?

inferred← citeshttps://doi.org/10.1016/j.jbankfin.2022.106705openalex-snapshot

Does asset encumbrance affect bank risk? Evidence from covered bonds

inferred← citeshttps://doi.org/10.1016/j.jcorpfin.2013.01.005openalex-snapshot

Preferred stock: Some insights into capital structure

inferred← citeshttps://doi.org/10.1016/j.jcorpfin.2015.04.006openalex-snapshot

Sovereign and corporate credit risk: Evidence from the Eurozone

inferred← citeshttps://doi.org/10.1016/j.jeconom.2012.12.003openalex-snapshot

Density approximations for multivariate affine jump-diffusion processes

inferred← citeshttps://doi.org/10.1016/j.jempfin.2012.12.006openalex-snapshot

Sovereign default risk premia: Evidence from the default swap market

inferred← citeshttps://doi.org/10.1016/j.jfs.2021.100960openalex-snapshot

Systemic risk measures and regulatory challenges

inferred← citeshttps://doi.org/10.1016/j.jimonfin.2013.07.003openalex-snapshot

What drives corporate default risk premia? Evidence from the CDS market

inferred← citeshttps://doi.org/10.1016/j.mulfin.2016.09.001openalex-snapshot

Liquidity in Credit Default Swap Markets

inferred← citeshttps://doi.org/10.1016/j.najef.2019.101003openalex-snapshot

Firm characteristics and jump dynamics in stock prices around earnings announcements

inferred← citeshttps://doi.org/10.1016/j.physa.2023.128489openalex-snapshot

Cointegration analysis of hazard rates and CDSs: Applications to pairs trading strategy

inferred← citeshttps://doi.org/10.1016/j.srfe.2014.05.001openalex-snapshot

Aggregate default and illiquidity of credit default swap spreads

inferred← citeshttps://doi.org/10.1017/s0022109010000736openalex-snapshot

JFQ volume 45 issue 6 Cover and Back matter

inferred← citeshttps://doi.org/10.1017/s0022109014000088openalex-snapshot

The Cross Section of Recovery Rates and Default Probabilities Implied by Credit Default Swap Spreads

inferred← citeshttps://doi.org/10.1017/s0022109017001235openalex-snapshot

Credit Default Swaps and Firm Value

inferred← citeshttps://doi.org/10.1017/s0022109018000558openalex-snapshot

The Term Structure of Expected Recovery Rates

inferred← citeshttps://doi.org/10.1080/00036846.2018.1486986openalex-snapshot

Industry-level determinants of the linkage between credit and stock markets

inferred← citeshttps://doi.org/10.1080/07474938.2017.1382803openalex-snapshot

Parameter estimation and inference with spatial lags and cointegration

inferred← citeshttps://doi.org/10.1080/14697688.2010.481633openalex-snapshot

Flexing the default barrier

inferred← citeshttps://doi.org/10.1080/14697688.2012.739729openalex-snapshot

Credit gap risk in a first passage time model with jumps

inferred← citeshttps://doi.org/10.1080/14697688.2018.1459808openalex-snapshot

Non-linear Gaussian sovereign CDS pricing models

inferred← citeshttps://doi.org/10.1080/1540496x.2025.2598430openalex-snapshot

Lay Your Cards on the Table: The Information Content of a Corporate Social Responsibility Report and Corporate Default Risk

inferred← citeshttps://doi.org/10.1093/jjfinec/nbaa012openalex-snapshot

Estimating Loss Given Default from CDS under Weak Identification

inferred← citeshttps://doi.org/10.1093/rof/rfr032openalex-snapshot

Dynamic Interactions Between Interest-Rate and Credit Risk: Theory and Evidence on the Credit Default Swap Term Structure*

inferred← citeshttps://doi.org/10.1108/jal-08-2022-0091openalex-snapshot

Reduced-form models of correlated default timing: a systematic literature review

inferred← citeshttps://doi.org/10.1111/jofi.12143openalex-snapshot

The Cross‐Section of Credit Risk Premia and Equity Returns

inferred← citeshttps://doi.org/10.1142/s2010139215500056openalex-snapshot

Separating the Components of Default Risk: A Derivative-Based Approach

inferred← citeshttps://doi.org/10.1214/14-aap1009openalex-snapshot

Exponential moments of affine processes

inferred← citeshttps://doi.org/10.1561/0500000040openalex-snapshot

Credit Default Swaps: A Survey

inferred← citeshttps://doi.org/10.1561/0500000044openalex-snapshot

The Empirical Analysis of Liquidity

inferred← citeshttps://doi.org/10.21314/jcf.2009.200openalex-snapshot

Computational techniques for basic affine models of portfolio credit risk

inferred← citeshttps://doi.org/10.2469/faj.v68.n3.7openalex-snapshot

Jump on the Post–Earnings Announcement Drift (corrected)

inferred← citeshttps://doi.org/10.3280/fr2014-002003openalex-snapshot

Estimating credit default swap spreads using accounting data, market quotes and credit ratings: the European Banks Case

inferred← citeshttps://doi.org/10.7172/1644-9584.55.14openalex-snapshot

The Cost of Debt and Country’s Credit Rating

Editorial review for independent work. ICSAC — the Institute for Complexity Science and Advanced Computing — runs a structured editorial panel for researchers publishing outside journals, and publishes on CiteStamp rails. Submission is free and goes through ORCID: icsacinstitute.org/submit.