.
Ericsson, Jan's
Scholarly Papers
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column.
Aggregate Statistics
Total 16,463
Total Citations 318
1.
Liquidity and Credit Risk
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Ericsson, Jan McGill University
Renault, Olivier University of Warwick Business School - Financial Econometrics Research Centre
Posted:
01 Aug 03
Last Revised:
12 Aug 05
3,632(985)
83
Ericsson, Jan McGill University
Renault, Olivier University of Warwick Business School - Financial Econometrics Research Centre
0
Corporate bonds, financial distress, renegotiation, liquidity risk
Ericsson, Jan McGill University
Renault, Olivier University of Warwick Business School - Financial Econometrics Research Centre
3,632
83
Credit risk, corporate bonds, renegotiation, illiquidity
2.
A Framework for Valuing Corporate Securities
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Ericsson, Jan McGill University
Reneby, Joel Stockholm School of Economics - Department of Finance
Posted:
12 Dec 96
Last Revised:
18 Dec 01
2,773(1,567)
12
Ericsson, Jan McGill University
Reneby, Joel Stockholm School of Economics - Department of Finance
0
Ericsson, Jan McGill University
Reneby, Joel Stockholm School of Economics - Department of Finance
2,773
12
3.
Estimating Structural Bond Pricing Models
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Ericsson, Jan McGill University
Reneby, Joel Stockholm School of Economics - Department of Finance
Posted:
15 May 01
Last Revised:
28 Feb 04
2,132(2,534)
28
Ericsson, Jan McGill University
Reneby, Joel Stockholm School of Economics - Department of Finance
0
Default risk, corporate bonds, credit spreads, maximum likelihood
Ericsson, Jan McGill University
Reneby, Joel Stockholm School of Economics - Department of Finance
2,132
28
Credit Risk, Maximum Likelihood, Corporate Bonds
4.
Ericsson, Jan McGill University
Reneby, Joel Stockholm School of Economics - Department of Finance
Wang, Hao Tsinghua University
Posted:
27 Jan 05
Last Revised:
16 Oct 08
1,651(3,916)
43
Credit risk, credit derivatives, corporate bonds, structural models
5.
Ericsson, Jan McGill University
Jacobs, Kris University of Houston - C.T. Bauer College of Business
Oviedo, Rodolfo Universidad Austral
Posted:
07 Oct 04
Last Revised:
05 Sep 09
1,646(3,944)
91
Credit risk, Credit default swaps
6.
Ericsson, Jan McGill University
1,561(4,336)
25
Capital Structure, Corporate Bond Pricing, Agency Problems
7.
Ericsson, Jan McGill University
Reneby, Joel Stockholm School of Economics - Department of Finance
845(12,080)
1
8.
Reneby, Joel Stockholm School of Economics - Department of Finance
Ericsson, Jan McGill University
609(19,537)
14
9.
Elkamhi, Redouane McGill University - Desautels Faculty of Management
Parsons, Christopher A. University of California, San Diego (UCSD)
Ericsson, Jan McGill University
Posted:
04 Feb 09
Last Revised:
26 May 09
567(21,533)
7
financial distress costs, default probabilities
10.
Christoffersen, Peter University of Toronto - Rotman School of Management
Ericsson, Jan McGill University
Jacobs, Kris University of Houston - C.T. Bauer College of Business
Jin, Xisong University of Luxembourg - Luxembourg School of Finance
292(49,642)
1
credit risk, structured products, dynamic equicorrelation, CDS, CDO, default
11.
Elkamhi, Redouane University of Iowa - Henry B. Tippie College of Business
Ericsson, Jan McGill University
259(56,875)
9
corporate bonds, credit risk, structural model, volatility, default risk premia, idiosyncratic risk.
12.
Ericsson, Jan McGill University
Elkamhi, Redouane University of Iowa - Henry B. Tippie College of Business
Wang, Hao Tsinghua University
Posted:
16 Mar 07
Last Revised:
16 Oct 08
207(72,111)
1
Putable Bonds, Credit Risk, Liquidity Premium, Bivariate Lattice
13.
Doshi, Hitesh University of Houston
Ericsson, Jan McGill University
Jacobs, Kris University of Houston - C.T. Bauer College of Business
Turnbull, Stuart M. University of Houston - C.T. Bauer College of Business
Posted:
02 Jul 11
Last Revised:
16 Mar 12
156(94,400)
3
credit default swap, no-arbitrage, observable covariates, volatility, leverage, distance-to-default
14.
Elkamhi, Redouane University of Iowa - Henry B. Tippie College of Business
Ericsson, Jan McGill University
Jiang, Min University of Iowa - Henry B. Tippie College of Business
133(108,387)
Variance risk premia, default swaps, structural credit models
15.
Reneby, Joel Stockholm School of Economics - Department of Finance
Ericsson, Jan McGill University
Credit risk, yield spreads, structural models
.
Ericsson, Jan's
Other Papers
Note: the statistics on these "Other Papers" are not used
in determining an Author's rank.
Aggregate Statistics
Total 400
Total Citations 10
1.
Ericsson, Jan McGill University
Elkamhi, Redouane McGill University - Desautels Faculty of Management
Posted:
20 Mar 07
Last Revised:
13 May 09
323
9
corporate bonds, credit risk, structural model, volatility, default risk premia, idiosyncratic risk
2.
Ericsson, Jan McGill University
Huang, Xiao Kennesaw State University - Michael J. Coles College of Business
Mazzotta, Stefano Kennesaw State University - Michael J. Coles College of Business
77
1
Financial leverage, stock volatility, panel data, VAR
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