Madan, D.B. and Unal, H. (1995) "Pricing the risk of default." Forthcoming in Reviews of Derivatives Research. Home/Search Document Details and Download
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Treasury yields and corporate bond yield spreads: An empirical.. - Duffee (1996) (Correct)
....and Huang (1995) However, one reason this class of models was developed is that the models are very tractable if default probabilities are independent of interest rates. Hence empirical implementation has concentrated on the case of independence, as in Jarrow, Lando, and Turnbull (1994) and Madan and Unal (1994). If the evidence here indicates that independence is a poor assumption, then a major advantage of this class of models disappears. Models of noncallable zero coupon corporate bond prices, such as Lando (1994) and Longstaff and Schwartz (1995) imply that variations over time in default risk are ....
Madan, Dilip B. and Haluk Unal, 1994, "Pricing the risks of default," Working paper, Wharton (Philadelphia, PA).
Estimating the Price of Default Risk - Duffee (1996) (5 citations) (Correct)
....in the event of default, the division of the value of the firm among claimants. Firms capital structures are typically quite complex and priority rules are often violated. In response to these difficulties, an alternative modeling approach has been pursued in a number of recent papers, including Madan and Unal (1994), Duffie and Singleton (1995a, 1995b) and Jarrow and Turnbull (1995) 2 At each instant there is some probability that a firm defaults on its obligations. Both this probability and the recovery rate in the event of default may vary stochastically through time. The stochastic processes determine ....
....bonds than for interest rate swaps, because default risk should have a very small effect on swap prices (Sorensen and Bollier 1994, Duffie and Huang 1996) Moreover, the market for seasoned corporate bonds is relatively more liquid than the (practically nonexistent) market for seasoned swaps. Madan and Unal (1994) examine another financial instrument for which credit risk is important: Certificates of deposit issued by roughly 300 thrift institutions over January 1987 to December 1991. They used a model of instantaneous default risk to relate the time variation in average thrift CD rates to variations in ....
[Article contains additional citation context not shown here]
Madan, Dilip B. and Haluk Unal, 1994, "Pricing the risks of default," Working paper, Wharton (Philadelphia, PA).
Estimating the Price of Default Risk - Duffee (1996) (5 citations) (Correct)
....in the event of default, the division of the value of the firm among claimants. Firms capital structures are typically quite complex and priority rules are often violated. In response to these difficulties, an alternative modeling approach has been pursued in a number of recent papers, including Madan and Unal (1994), Duffie and Singleton (1995a, 1995b) and Jarrow and Turnbull (1995) 2 At each instant there is some probability that a firm defaults on its obligations. Both this probability and the recovery rate in the event of default may vary stochastically through time. The stochastic processes determine ....
....bonds than for interest rate swaps, because default risk should have a very small effect on swap prices (Sorensen and Bollier 1994, Duffie and Huang 1996) Moreover, the market for seasoned corporate bonds is relatively more liquid than the (practically nonexistent) market for seasoned swaps. Madan and Unal (1994) examine another financial instrument for which credit risk is important: Certificates of deposit issued by roughly 300 thrift institutions over January 1987 to December 1991. They used a model of instantaneous default risk to relate the time variation in average thrift CD rates to variations in ....
[Article contains additional citation context not shown here]
Madan, Dilip B. and Haluk Unal, 1994, "Pricing the risks of default," Working paper, Wharton (Philadelphia, PA).
A Unified Model for Credit Derivatives - Belanger, Shreve, al. (2001) (Correct)
....is parametrized but does not take explicit account of hierarchy of liabilities. The model is calibrated to market data and then used to price credit derivatives. Reduced form models were developed by Artzner Delbaen [1] Due, Schroder Skiadas [12] Jarrow Turnbull [24] and Madan Unal [30]. Due Lando [11] show how a reduced form model can be obtained from a structural model with incomplete accounting information. Reduced form models are of several types. In the simplest, there is an intensity for the arrival of default or credit migration, and recovery is an exogenous process. In ....
Madan, D. & Unal, H. (1995) Pricing the risk of default, Rev. Derivatives Research 2, 121-160.
Corporate Bond Valuation Incorporating Target Liability Level - Hui, Lo (Correct)
....the views of the Hong Kong Monetary Authority. 1 The second approach is the reduced form models in which default time is a stopping time of some given hazard rate process and the payoff upon default is specified exogenously. This approach has been considered by Artzner and Delbaen [1992] Madan and Unal [1993], Jarrow, Lando, and Turnbull [1994] Jarrow and Turnbull [1995] and Duffie and Singleton [1997] 2 Campbell (1986) shows that a constant l can be justified in a market equilibrium with log utility investors. l is absorbed into the term k(t)q(t) in the following calculation. 3 Regarding the ....
Madan, D., and H. Unal. "Pricing the Risks of Default" College of Business, University of Maryland, 1993.
Stress-Testing Model of Defaultable Bond Values - Lo, Hui (Correct)
....receive an exogenously given number of riskless bonds. The second approach is the reduced form models in which default time is a stopping time of some given hazard rate process and the payoff upon default is specified exogenously. This approach has been considered by Artzner and Delbaen (1992) Madan and Unal (1993), Jarrow, Lando, and Turnbull (1994) Jarrow and Turnbull (1995) and Duffie and Singleton (1997) The derived pricing formulas can be calibrated to market credit spreads. Under stressful market conditions, equity markets and bond markets would be volatile and illiquid. It would be difficult to ....
Madan, D., Unal, H., 1993. Pricing the Risks of Default. College of Business, University of Maryland.
Valuation of Defaultable Bonds Using Signaling Process - An.. - Lo, Hui (Correct)
....receive an exogenously given number of riskless bonds. The second approach is the reduced form models in which default time is a stopping time of some given hazard rate process and the payoff upon default is specified exogenously. This approach has been considered by Artzner and Delbaen [1992] Madan and Unal [1993], Jarrow, Lando, and Turnbull [1994] Jarrow and Turnbull [1995] and Duffie and Singleton [1997] A middle ground model between the structure model and the reduced form models is developed by Cathcart and El Jahel [1998] In the model, default occurs when some signaling process hits some lower ....
Madan, D., and H. Unal. "Pricing the Risks of Default" College of Business, University of Maryland, 1993.
Pricing Risky Debt: An Empirical Comparison of.. - David Guoming Wei.. (1996) (2 citations) (Correct)
....third party exists (i.e. no bankruptcy costs) creditors should get the whole firm value, which requires that ffB and K be equal in value. This in turn implies that K is less than B since ff is less than 1 in general. However, the condition of triggering the default event becomes obscure 2 See Madan and Unal (1994) for more discussions. here. The firm should default when V (T ) reaches level B, not level K as in the LS model. However, this problem is less serious than it first appears since a default at any given time, including at the maturity date T , is a zero probability event. Nevertheless, this ....
Madan, D.B. and H. Unal, 1994,"Pricing the Risks of Default," College of Business and Management, University of Maryland.
Probabilistic Aspects of Default Risk Modeling - Bielecki, Rutkowski (1998) (1 citation) (Correct)
No context found.
Madan, D.B. and Unal, H. (1995) "Pricing the risk of default." Forthcoming in Reviews of Derivatives Research.
Credit Risk Models II: Structural Models - Elizalde (2003) (Correct)
No context found.
Madam, D., and Unal, H., 1998, "Pricing the Risks of Default", Review of Derivatives Research, Vol. 2 (1998), p. 121-160.
A Unified Model for Credit Derivatives - Belanger, Shreve, Wong (2002) (Correct)
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Madan, D. & Unal, H. (1995) Pricing the risk of default, Rev. Derivatives Research 2, 121--160.
Credit Risk Modelling: Intensity Based Approach - Bielecki, Rutkowski (Correct)
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MU Madan, D.B. and Unal, H. (1998a) "Pricing the risk of default." Review of Derivatives Research 2, 121--160.
The Term Structure of Defaultable Bond Prices - Schönbucher (1996) (Correct)
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Madan D.B. and Unal H. "Pricing the risks of default." Working paper, College of Business and Management, University of Maryland (March 1994).
Extreme Events and Multi-Name Credit Derivatives - Mashal, Naldi, Zeevi (2003) (Correct)
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Madan, D. and H. Unal. 1998. Pricing the risks of default. Review of Derivatives Research 2:121--160.
Unknown - Xy Phw Eqw (Correct)
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Madan, D. and H. Unal, 1998, "Pricing the Risks of Default", Review of Derivatives Research, Vol 2, 121-160.
A Jump-Diffusion Approach to Modeling Credit Risk and Valuing.. - Zhou (1997) (4 citations) (Correct)
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Madan, D.B. and H. Unal(1994): "Pricing the risks of default," Working paper, The Wharton School of the University of Pennsylvania.
The Valuation of Default Risk in Corporate Bonds and Interest.. - Nielsen, Ronn (1996) (3 citations) (Correct)
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Madan, Dilip B. and Haluk Unal, "Pricing the Risks of Default," Working Paper, College of Business, University of Maryland, 1994.
Stable Modeling of Credit Risk - Rachev, Schwartz, Khindanova (Correct)
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Madan, D.B. and H. Unal, 1994, "Pricing the Risks of Default", Working Paper 9416, Wharton School, University of Pennsylvania.
The Valuation of Default Risk in Corporate Bonds and Interest.. - Nielsen, Ronn (1998) (3 citations) (Correct)
No context found.
Madan, Dilip B. and Haluk Unal, "Pricing the Risks of Default," Working Paper, College of Business, University of Maryland, 1994.
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