Credit risk analysis with creditor's option to extend maturities

DOI10.1007/S10436-016-0281-9MaRDI QIDQ2397783zbMATH OpenOpenAlexWikidataFDO

Authors Ryoichi Ikeda, Yoske Igarashi

Publication date 23 May 2017

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

Copyright license Creative Commons Attribution 4.0 International

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

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)

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Cites work

• scientific article; zbMATH DE number 52448 (Why is no real title available?)
• The pricing of options and corporate liabilities

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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