Credit risk analysis with creditor's option to extend maturities

DOI10.1007/S10436-016-0281-9zbMATH Open1398.91644OpenAlexW2528923431WikidataQ57921994 ScholiaQ57921994MaRDI QIDQ2397783FDOQ2397783

Authors: Ryoichi Ikeda, Yoske Igarashi 

Publication date: 23 May 2017

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-016-0281-9

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zbMATH Keywords

defaultstructural modelrefinancingmaturity extensionbankruptcy cost

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Credit risk (91G40) Corporate finance (dividends, real options, etc.) (91G50)

Cites Work

• The pricing of options and corporate liabilities
• Title not available (Why is that?)

Cited In (4)

• Bargaining power and renegotiation of small private debt contracts
• Pricing of a firm bond with extendable maturity by the reduced form approach
• Funding liquidity, debt tenor structure, and creditor's belief: an exogenous dynamic debt run model
• Excessive risk taking and the maturity structure of debt

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