APPENDIX I Mathematical Appendix
APPENDIX II Econometric Tests
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Boehmer, Ekkehart, and William L. Megginson, 1990, “Determinants of Secondary Market Prices for Developing Country Syndicated Loans,” Journal of Finance, Vol. 45 (5), pp. 1517–40.
Bond Exchange of South Africa, 2003, Mark to Market (MTM). (Melrose: BESA). Available at: http://www.bondex.co.za/indices/mtm/index.html.
Briys, Eric, and François De Varenne , 1997, “Valuing Risky Fixed Rate Debt: An Extension,” Journal of Financial and Quantitative Analysis, Vol. 32 (2), pp. 239–49.
Caouette, John B., Edward I Altman, and Paul Narayanan , 1998, Managing Credit Risk. The Next Great Financial Challenge (New York: John Wiley and Sons).
Collin-Dufresne, Pierre, Robert S. Goldstein, and J. Spencer Martin , 2001, “Determinants of Credit Spread Changes,” Journal of Finance, Vol. 56 (6), pp. 2177–208.
Collin-Dufresne, Pierre, and Bruno Solnik , 2001, “On the Term Structure of Default Premia in the Swap and LIBOR Markets,” Journal of Finance, Vol. 56 (3), pp. 1095–115.
Cook, Timothy Q., and Patric H. Hendershott , 1978, “The Impact of Taxes, Risk and Relative Security Supplies on Interest Rate Differentials,” Journal of Finance, Vol. 33 (4), pp. 1173–86.