Default bond pricing models with exchange rate risk

MaRDI QIDQ5260588zbMATH OpenFDO

Authors Pei Dong Guo

Publication date 29 June 2015

zbMATH Keywords

bond pricecredit spreadsdefault probabilityexchange rate risk

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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(14)

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• Empirical Evaluation of Hybrid Defaultable Bond Pricing Models
• Pricing corporate bonds with both expected and unexpected defaults
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• Default risk quantification and buy-back option pricing of China CMBS business
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• The debt-relief credit risk bond pricing with time-varying default boundary
• Using Utility Functions to Model Risky Bonds
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