Learning and Risk Premiums in an Arbitrage-free Term Structure Model, (with Marco Giacoletti and Kristoffer Laursen). Working Paper, May 20, 2018.
- Type: Working Papers
- Topic(s): Credit Risk, Econometric Methods, Fixed Income
Credit Risk
Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks, (with Scott Joslin and Marcel Priebsch). Journal of Finance, Vol. 69, no. 3, June 2014, 1197–1233.
- Type: Published Papers
- Topic(s): Credit Risk, Econometric Methods, Fixed Income
The Structure of Risks in Equilibrium Affine Models of Bond Yields, (with Anh Le). Working Paper, April 2013.
- Type: Working Papers
- Topic(s): Credit Risk, Econometric Methods, Fixed Income
How Sovereign Is Sovereign Credit Risk?, (with Francis Longstaff, Jun Pan, and Lasse Pedersen). American Economic Journal: Macroeconomics, Vol. 3, No. 2, April 2011, 75-103.
- Type: Published Papers
- Topic(s): Credit Risk
Discrete-Time Dynamic Term Structure Models with Generalized Market Prices of Risk, (with Anh Le and Qiang Dai). Review of Financial Studies, Vol. 23, No. 5, 2010, 2184-2227.
- Type: Published Papers
- Topic(s): Credit Risk, Econometric Methods, Fixed Income
Interpreting Recent Changes in the Credit Spreads of Japanese Banks (with Jun Pan). In Monetary and Economic Studies, Bank of Japan, 2006.
- Type: Book Chapters
- Topic(s): Credit Risk
Expectation Puzzles, Time-varying Risk Premia, and Affine Models of the Term Structure, (with Qiang Dai). Journal of Financial Economics, Vol. 63, No. 3, March 2002, 415–441.
- Type: Published Papers
- Topic(s): Credit Risk, Econometric Methods, Fixed Income
Simulating Correlated Defaults, (with D. Duffie). Working Paper, April 1999.
- Type: Working Papers
- Topic(s): Credit Risk
Ratings-Based Term Structures of Credit Spreads, (with D. Duffie). Working Paper, September 1998.
- Type: Working Papers
- Topic(s): Credit Risk
Yield Curve Risk Management for Government Bond Portfolios: An International Comparison. In Risk Management: Challenges and Solutions, eds. W. Beaver and G. Parker, McGraw Hill, 1995.
- Type: Book Chapters
- Topic(s): Credit Risk, Fixed Income
Research by Topic
Menu