An integrated pricing model for defaultable loans and bonds

DOI10.1016/J.EJOR.2003.12.006zbMATH Open1067.90082OpenAlexW3122497712MaRDI QIDQ704061FDOQ704061

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

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zbMATH Keywords

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

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50)

Cites Work

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

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

Uses Software

• CreditRisk+

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