Evidence from many countries in recent years suggests that collateral values and recovery
rates (RRs) on corporate defaults can be volatile and, moreover, that they tend to go down …

This paper surveys the literature on option pricing from its origins to the present. An
extensive review of valuation methods for European-and American-style claims is provided …

A comprehensive look at the enormous growth and evolution of distressed debt markets,
corporate bankruptcy, and credit risk models This Fourth Edition of the most authoritative …

This book provides the most comprehensive treatment of the theoretical concepts and
modelling techniques of quantitative risk management. Whether you are a financial risk …

The essential guide to managing financial institution risk, fully revised and updated The
dangers inherent in the financial system make understanding risk management essential for …

I argue that hazard models are more appropriate than single‐period models for forecasting
bankruptcy. Single‐period models are inconsistent, while hazard models produce consistent …

In the setting of 'affine'jump‐diffusion state processes, this paper provides an analytical
treatment of a class of transforms, including various Laplace and Fourier transforms as …

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 …

We evaluate the effects of three European Central Bank (ECB) policies (the Securities
Markets Programme (SMP), the Outright Monetary Transactions (OMT), and the Long-Term …