This article presents convenient reduced-form models of the valuation of contingent claims
subject to default risk, focusing on applications to the term structure of interest rates for …

This paper describes a method for estimating and testing nonlinear rational expectations
models directly from stochastic Euler equations. The estimation procedure makes sample …

This paper explores the structural differences and relative goodness‐of‐fits of affine term
structure models (ATSMs). Within the family of ATSMs there is a trade‐off between flexibility in …

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 paper studies the time-series behavior of asset returns and aggregate consumption.
Using a representative consumer model and imposing restrictions on preferences and the joint …

We study the nature of sovereign credit risk using an extensive set of sovereign CDS data.
We find that the majority of sovereign credit risk can be linked to global factors. A single …

This paper provides a simulated moments estimator (SME) of the parameters of dynamic
models in which the state vector follows a time-homogeneous Markov process. Conditions are …

This paper explores the nature of default arrival and recovery implicit in the term structures
of sovereign CDS spreads. We argue that term structures of spreads reveal not only the …

This article develops a multi‐factor econometric model of the term structure of interest‐rate
swap yields. The model accommodates the possibility of counterparty default, and any …

Linear projections of returns on the slope of the yield curve have contradicted the implications
of the traditional “expectations theory”. This paper shows that these findings are not …