The purpose of this article is to explain the spread between rates on corporate and
government bonds. We show that expected default accounts for a surprisingly small fraction …

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 …

The most cutting-edge read on the pricing, modeling, and management of credit risk
available The rise of credit risk measurement and the credit derivatives market started in the …

Economic theory tells us that market and credit risks are intrinsically related to each other
and not separable. We describe the two main approaches to pricing credit risky instruments …

This article is a critical survey of models designed for pricing fixed-income securities and
their associated term structures of market yields. Our primary focus is on the interplay …

Written by one of the leading experts in the field, this book focuses on the interplay between
model specification, data collection, and econometric testing of dynamic asset pricing …

A classic book on credit risk management is updated to reflect the current economic crisis
Credit Risk Management In and Out of the Financial Crisis dissects the 2007-2008 credit …

The essential premise of this book is that theory and practice are equally important in
describing financial modeling. In it the authors try to strike a balance in their discussions …

Who gains all his ends did set the level too low. Although the history of trading on financial
markets started a long and possibly not exactly definable time ago, most financial analysts …

This new edition is a greatly extended and updated version of my earlier monograph"
Pricing Credit Linked Financial Instruments"(Schmid 2002). Whereas the first edition …