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B. Y. Zhang, H. Zhou and H. Zhu, “Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms,” Review of Financial Studies, Vol. 22, No. 12, 2009, pp. 5099-5131.
http://dx.doi.org/10.1093/rfs/hhp004

has been cited by the following article:

• TITLE: Cross-Market Valuation with Full Information on the Company’s Capital Structure

  AUTHORS: Pascal Heider, Peter N. Posch

  KEYWORDS: Credit Risk; Asset Pricing; CDS; Capital Structure; Equity Volatility

  JOURNAL NAME: Journal of Mathematical Finance, Vol.3 No.3A, October 30, 2013

  ABSTRACT: Most models for forecasting a company’s value either use only information from single markets or compress information from other markets. We propose a model using a company’s full capital structure including the term structure and type of outstanding debt to assess its future value. We discuss the numerical properties of our model and demonstrate its usefulness when estimating the probability of default as a valuation example.