A comprehensive structural model for defaultable fixed-income bonds
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- A comprehensive unified model of structural and reduced form type for defaultable fixed income bonds
- Term structure modelling of defaultable bonds
- An integrated pricing model for defaultable loans and bonds
- Pricing defaultable bonds: a middle-way approach between structural and reduced-form models
- scientific article; zbMATH DE number 1222802
- AN EXTENSION OF THE BRODY–HUGHSTON–MACRINA APPROACH TO MODELING OF DEFAULTABLE BONDS
- Empirical Evaluation of Hybrid Defaultable Bond Pricing Models
- DEFAULTABLE DEBT PRICING IN MULTI-FACTOR MODELS
- scientific article; zbMATH DE number 762928
Cites work
- A generalization of the Geske formula for compound options
- An equilibrium characterization of the term structure
- Pricing Black–Scholes options with correlated interest rate risk and credit risk: an extension
- Stock options as barrier contingent claims
- Switching to a poor business activity: optimal capital structure, agency costs and covenant rules
Cited in
(28)- Fuzzy defaultable bonds
- A note on the valuation of risky corporate bonds
- Valuation model of defaultable bond values in emerging markets
- Structural default model with mutual obligations
- The analysis of corporate bond valuation under an infinite dimensional compound Poisson framework
- PDE models for the pricing of a defaultable coupon-bearing bond under an extended JDCEV model
- Evaluating corporate bonds with complicated liability structures and bond provisions
- Pricing of defaultable bonds with log-normal spread: development of the model and an application to Argentinean and Brazilian bonds during the Argentine crisis
- A defaultable bond model with cyclical fluctuations in the spread process
- Valuation of one period coupon bond based on default time and empirical study in Indonesian bond data
- A modified structural model for credit risk
- A comprehensive mathematical approach to exotic option pricing
- Defaultable bonds with an infinite number of Lévy factors
- A Structural Model with Unobserved Default Boundary
- Pricing corporate bonds with both expected and unexpected defaults
- Credit spreads, endogenous bankruptcy and liquidity risk
- The Power-Series Algorithm Applied to the Shortest-Queue Model
- Analytical pricing of defaultable discrete coupon bonds in unified two-factor model of structural and reduced form models
- scientific article; zbMATH DE number 1222802 (Why is no real title available?)
- The pricing of risky coupon bonds
- A comprehensive unified model of structural and reduced form type for defaultable fixed income bonds
- Modelling German covered bonds
- scientific article; zbMATH DE number 7339180 (Why is no real title available?)
- Pricing corporate defaultable bond using declared firm value
- Coupon and tax effects on new and seasoned bond yields and the measurement of the cost of debt capital
- Pricing defaultable bonds: a middle-way approach between structural and reduced-form models
- A CB (corporate bond) pricing probabilities and recovery rates model for deriving default probabilities and recovery rates
- General properties of solutions to inhomogeneous Black-Scholes equations with discontinuous maturity payoffs
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