An integrated pricing model for defaultable loans and bonds
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Publication:704061
DOI10.1016/j.ejor.2003.12.006zbMath1067.90082MaRDI QIDQ704061
Edward I. Altman, Mario Onorato
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
Asset pricing; Credit risk measurement model; Debt \& debt management; Financial risk management; Statistical simulation methods
90B50: Management decision making, including multiple objectives
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Uses Software
Cites Work
- Term structure modelling of defaultable bonds
- Martingales and arbitrage in multiperiod securities markets
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Swap Pricing with Two-Sided Default Risk in a Rating-Based Model *
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Term Structures of Credit Spreads with Incomplete Accounting Information
- Default risk and derivative products
- A simplified exposition of the health, Jarrow and Morton model
