An integrated pricing model for defaultable loans and bonds

DOI10.1016/J.EJOR.2003.12.006MaRDI QIDQ704061zbMATH OpenOpenAlexFDO

Authors Mario Onorato, Edward I. Altman

Publication date 12 January 2005

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL http://archive.nyu.edu/handle/2451/26586

zbMATH Keywords

Asset pricingCredit risk measurement modelDebt \& debt managementFinancial risk managementStatistical simulation methods

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50)

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• Multiple ratings model of defaultable term structure.
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Cites work

• A simplified exposition of the health, Jarrow and Morton model
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Default risk and derivative products
• Martingales and arbitrage in multiperiod securities markets
• Swap Pricing with Two-Sided Default Risk in a Rating-Based Model *
• Term Structures of Credit Spreads with Incomplete Accounting Information
• Term structure modelling of defaultable bonds
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(7)

• Enhancing credit default swap valuation with meshfree methods
• Median split, \(k\)-group split, and optimality in continuous populations
• Evaluating corporate bonds with complicated liability structures and bond provisions
• INCORPORATING RISK AND AMBIGUITY AVERSION INTO A HYBRID MODEL OF DEFAULT
• A Hybrid Model for Pricing and Hedging of Long-dated Bonds
• A comprehensive structural model for defaultable fixed-income bonds
• Random effects model for credit rating transitions

Describes a project that uses

Uses Software

• CreditRisk+

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