I survey and assess the development of continuous‐time methods in finance during the last
30 years. The subperiod 1969 to 1980 saw a dizzying pace of development with seminal …

Current research on financial risk management applications of econometrics centers on the
accurate assessment of individual market and credit risks with relatively little theoretical or …

In this book, two of America's leading economists provide the first integrated treatment of the
conceptual, practical, and empirical foundations for credit risk pricing and risk measurement …

This is the first study that uses Merton's (1974) option pricing model to compute default
measures for individual firms and assess the effect of default risk on equity returns. The size …

We use the information in credit default swaps to obtain direct measures of the size of the
default and nondefault components in corporate spreads. We find that the majority of the …

Using dealer's quotes and transactions prices on straight industrial bonds, we investigate
the determinants of credit spread changes. Variables that should in theory determine credit …

This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for
doctoral students and researchers on the theory of asset pricing and portfolio selection in …

This paper presents a consistent and arbitrage‐free multifactor model of the term structure of
interest rates in which yields at selected fixed maturities follow a parametric muitivariate …

Modeling Term Structures of Defaultable Bonds | The Review of Financial Studies | Oxford
Academic Skip to Main Content Advertisement Oxford Academic Journals Books Search Menu …

Investors value the liquidity and safety of US Treasuries. We document this by showing that
changes in Treasury supply have large effects on a variety of yield spreads. As a result …