search query: @author Zhou, C. / total: 9
reference: 5 / 9
| Author: | Zhou, C. |
| Title: | The term structure of credit spreads with jump risk |
| Journal: | Journal of Banking and Finance
2001 : NOV, VOL. 25:11, p. 2015-2040 |
| Index terms: | CREDIT DEFAULTS SHARE PRICES TERM STRUCTURE OF INTEREST RATES |
| Freeterms: | JUMP RISK |
| Language: | eng |
| Abstract: | Default risk analysis is important for valuing corporate bonds, swaps, and credit derivatives and plays a critical role in managing the credit risk of bank loan portfolios. This paper offers a theory to explain the observed empirical regularities on default probabilities, recovery rates, and credit spreads. It incorporates jump risk into the default process. |
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