6
H index
5
i10 index
481
Citations
McGill University | 6 H index 5 i10 index 481 Citations RESEARCH PRODUCTION: 5 Articles 9 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Jan Ericsson. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Applied Mathematical Finance | 2 |
Year | Title of citing document |
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2020 | The financial distress pricing puzzle in banking firms. (2020). Lee, Inro ; Kim, Dongcheol. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:2:p:1351-1384. Full description at Econpapers || Download paper |
2020 | The Coâ€Movement of Credit Default Swap Spreads, Equity Returns and Volatility: Evidence from Asiaâ€Pacific Markets. (2020). Gottschalk, Katrin ; da Fonseca, Jose. In: International Review of Finance. RePEc:bla:irvfin:v:20:y:2020:i:3:p:551-579. Full description at Econpapers || Download paper |
2020 | CDS Returns. (2020). Xu, Haohua ; Saleh, Fahad ; Augustin, Patrick. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:118:y:2020:i:c:s0165188920301457. Full description at Econpapers || Download paper |
2020 | News sentiment, credit spreads, and information asymmetry. (2020). Wang, Xinjie ; Liu, Zhechen ; Yang, Shanxiang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300760. Full description at Econpapers || Download paper |
2020 | Structural recovery of face value at default. (2020). Tarelli, Andrea ; Sbuelz, Alessandro ; Guha, Rajiv. In: European Journal of Operational Research. RePEc:eee:ejores:v:283:y:2020:i:3:p:1148-1171. Full description at Econpapers || Download paper |
2020 | Corporate innovation and credit default swap spreads. (2020). Oh, Frederick Dongchuhl ; Lee, Hwang Hee. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318306226. Full description at Econpapers || Download paper |
2020 | Expected issuance fees and market liquidity. (2020). Zwinkels, Remco ; Verschoor, Willem ; Pieterse-Bloem, Mary ; Buis, Boyd . In: Journal of Financial Markets. RePEc:eee:finmar:v:48:y:2020:i:c:s1386418119300795. Full description at Econpapers || Download paper |
2020 | Looking through systemic credit risk: Determinants, stress testing and market value. (2020). Novales, Alfonso ; Chamizo, Alvaro. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:64:y:2020:i:c:s1042443119300939. Full description at Econpapers || Download paper |
2020 | Measuring banks’ liquidity risk: An option-pricing approach. (2020). Zhang, Jinqing ; Bian, Yun ; He, Liang. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:111:y:2020:i:c:s0378426619302778. Full description at Econpapers || Download paper |
2020 | The surface of implied firm’s asset volatility. (2020). Silaghi, Florina ; Lovreta, Lidija. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:112:y:2020:i:c:s0378426617302789. Full description at Econpapers || Download paper |
2020 | Performance of default-risk measures: the sample matters. (2020). Muga, Luis ; Sanchez, Santiago ; Gonzalez-Urteaga, Ana ; Abinzano, Isabel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:120:y:2020:i:c:s0378426620302211. Full description at Econpapers || Download paper |
2020 | Pricing structured products with economic covariates. (2020). Jacobs, Kris ; Doshi, Hitesh ; Choi, Yongseok ; Turnbull, Stuart M. In: Journal of Financial Economics. RePEc:eee:jfinec:v:135:y:2020:i:3:p:754-773. Full description at Econpapers || Download paper |
2020 | Short-term debt and incentives for risk-taking. (2020). Morellec, Erwan ; della Seta, Marco ; Zucchi, Francesca. In: Journal of Financial Economics. RePEc:eee:jfinec:v:137:y:2020:i:1:p:179-203. Full description at Econpapers || Download paper |
2020 | Merton’s equation and the quantum oscillator: Pricing risky corporate coupon bonds. (2020). Baaquie, Belal Ehsan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:541:y:2020:i:c:s0378437119318837. Full description at Econpapers || Download paper |
2020 | Pricing equity warrants in Merton jump–diffusion model with credit risk. (2020). Zhang, Xili ; Zhou, Qing. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:557:y:2020:i:c:s037843712030457x. Full description at Econpapers || Download paper |
2020 | Measuring the multi-faceted dimension of liquidity in financial markets: A literature review. (2020). Diaz, Antonio ; Escribano, Ana. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531918311024. Full description at Econpapers || Download paper |
2020 | Seeking causality between liquidity risk and credit risk: TED-OIS spreads and CDS indexes. (2020). Gunay, Samet. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919306282. Full description at Econpapers || Download paper |
2020 | The Credit Spread Curve Distribution and Economic Fluctuations in Japan. (2020). Okimoto, Tatsuyoshi ; Sumiko, Takaoka ; Tatsuyoshi, Okimoto. In: Discussion papers. RePEc:eti:dpaper:20030. Full description at Econpapers || Download paper |
2020 | Common Determinants of Credit Default Swap Premia in the North American Oil and Gas Industry. A Panel BMA Approach. (2020). Szafranek, Karol ; Szafrański, Grzegorz ; Szafraski, Grzegorz ; Kwas, Marek ; Woko, Zuzanna. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:23:p:6327-:d:453941. Full description at Econpapers || Download paper |
2020 | The Role of Redenomination Risk in the Price Evolution of Italian Banks’ CDS Spreads. (2020). Zedda, Stefano ; Toscano, Mario ; Patane, Michele ; Anelli, Michele. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:7:p:150-:d:382904. Full description at Econpapers || Download paper |
2020 | Liquidity Premium in the Eye of the Beholder: An Analysis of the Clientele Effect in the Corporate Bond Market. (2020). Huang, Jingzhi ; Yu, Tong ; Yao, Tong ; Sun, Zhenzhen ; Chen, Xuanjuan. In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:2:p:932-957. Full description at Econpapers || Download paper |
2020 | L impact des mécanismes de gouvernance interne sur le risque opérationnel bancaire. (2020). Henchiri, Jamel Eddine ; Bouabdallah, Narjess. In: Journal of Academic Finance. RePEc:jaf:journl:v:11:y:2020:i:1:n:393. Full description at Econpapers || Download paper |
2020 | The risk management implications of using end of day consensus pricing for single name CDS. (2020). Ronen, Tavy ; Sopranzetti, Ben ; Sokolinskiy, Oleg. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:55:y:2020:i:1:d:10.1007_s11156-019-00843-2. Full description at Econpapers || Download paper |
2020 | Distress risk, product market competition, and corporate bond yield spreads. (2020). Lee, Han-Hsing. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:55:y:2020:i:3:d:10.1007_s11156-019-00869-6. Full description at Econpapers || Download paper |
2020 | The effect of environmental sustainability on credit risk. (2020). Zwergel, Bernhard ; Landau, Alexander ; Klein, Christian ; Hock, Andre. In: Journal of Asset Management. RePEc:pal:assmgt:v:21:y:2020:i:2:d:10.1057_s41260-020-00155-4. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2006 | Liquidity and Credit Risk In: Journal of Finance. [Full Text][Citation analysis] | article | 136 |
2001 | Liquidity and Credit Risk.(2001) In: FAME Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 136 | paper | |
2000 | Liquidity and Credit Risk.(2000) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 136 | paper | |
2004 | The Determinants of Credit Default Swap Premia In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 234 |
2009 | The Determinants of Credit Default Swap Premia.(2009) In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] This paper has another version. Agregated cites: 234 | article | |
2004 | The Determinants of Credit Default Swap Premia.(2004) In: SIFR Research Report Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 234 | paper | |
1998 | A Framework for Valuing Corporate Securities In: SSE/EFI Working Paper Series in Economics and Finance. [Full Text][Citation analysis] | paper | 33 |
1998 | A framework for valuing corporate securities.(1998) In: Applied Mathematical Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 33 | article | |
2002 | Stock Options as Barrier Contingent Claims In: SSE/EFI Working Paper Series in Economics and Finance. [Full Text][Citation analysis] | paper | 5 |
2003 | Stock options as barrier contingent claims.(2003) In: Applied Mathematical Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | article | |
2002 | A Note on Contingent Claims Pricing with Non-Traded Assets In: SSE/EFI Working Paper Series in Economics and Finance. [Full Text][Citation analysis] | paper | 4 |
2002 | The Valuation of Corporate Liabilities: Theory and Tests In: SSE/EFI Working Paper Series in Economics and Finance. [Full Text][Citation analysis] | paper | 12 |
2003 | Valuing Corporate Liabilities In: SIFR Research Report Series. [Full Text][Citation analysis] | paper | 8 |
2005 | Estimating Structural Bond Pricing Models In: The Journal of Business. [Full Text][Citation analysis] | article | 49 |
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