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