The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
A Simple Approach to Valuing Risky Fixed and Floating Rate Debt
Abstract
We develop a simple approach to valuing risky corporate debt that incorporates both default and interest rate risk. We use this approach to derive simple closed‐form valuation expressions for fixed and floating rate debt. The model provides a number of interesting new insights about pricing and hedging corporate debt securities. For example, we find that the correlation between default risk and the interest rate has a significant effect on the properties of the credit spread. Using Moody's corporate bond yield data, we find that credit spreads are negatively related to interest rates and that durations of risky bonds depend on the correlation with interest rates. This empirical evidence is consistent with the implications of the valuation model.
Overview
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Integrity signals
Registry
Cites
Statistics
Verification
Claims the paper makes
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Self-check
Percentages, sums and reported differences re-computed from the paper’s own numbers.
The self-check needs the paper’s full text.
Citations
Cites
The pricing of options and corporate liabilities
Black, F., & Scholes, M. (1973) · Journal of Political Economy · doi:10.1086/260062 · Cited by 29,074
Cited by
Prospect Theory and Asset Prices
Barberis, N., Huang, M., & Santos, T. (2001) · The Quarterly Journal of Economics · doi:10.1162/003355301556310 · Cited by 1,895
On cox processes and credit risky securities
Lando, D. (1998) · Review of Derivatives Research · doi:10.1007/bf01531332 · Cited by 1,208
Equity Volatility and Corporate Bond Yields
Campbell, J. Y., & Taksler, G. B. (2003) · The Journal of Finance · doi:10.1046/j.1540-6261.2003.00607.x · Cited by 1,206
Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk
Battiston, S., Delli Gatti, D., Gallegati, M., Greenwald, B., & Stiglitz, J. E. (2012) · Journal of Economic Dynamics and Control · doi:10.1016/j.jedc.2012.04.001 · Cited by 734
A new anomaly: the cross-sectional profitability of technical analysis
Han, Y., Yang, K., & Zhou, G. (2013) · Journal of Financial and Quantitative Analysis · doi:10.1017/s0022109013000586 · Cited by 231
Metadata
- Authors
- LONGSTAFF, F. A., & SCHWARTZ, E. S.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 1995-07
- Volume
- 50
- Issue
- 3
- Pages
- 789-819
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2132072990
- Cited by
- 2,089
- References
- 1
- FWCI
- 40.67
- Type
- journal article
- Language
- en
- Open access
- closed
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
What counts as a claim ›How we measure confidence ›How we check this ›
Are you an author, or do you see a problem with this page? Request a review
How to cite
Cite CoChat for the checks on this page, and the paper for its own findings.
- This page
- CoChat. (2026). Citation check: A Simple Approach to Valuing Risky Fixed and Floating Rate Debt. https://app.cochat.ai/papers/10.1111/j.1540-6261.1995.tb04037.x
- The paper
- LONGSTAFF, F. A., & SCHWARTZ, E. S. (1995). A Simple Approach to Valuing Risky Fixed and Floating Rate Debt. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.1995.tb04037.x
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
