A comprehensive structural model for defaultable fixed-income bonds

被引：6

作者：

Agliardi, Rossella ^{[1
]}

机构：

[1] Univ Bologna, Dept Matemates, I-40126 Bologna, Italy

来源：

QUANTITATIVE FINANCE | 2011年 / 11卷 / 05期

关键词：

Asset pricing; Coupon bonds; Credit risk; Debt valuation; Default risk; Structural models; INTEREST-RATE RISK; CORPORATE-DEBT; VALUATION; SPREAD;

D O I：

10.1080/14697680903222451

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

An exact valuation formula for defaultable corporate coupon bonds is proved. The model incorporates discrete coupons, bankruptcy costs, taxes and the market risk generated by a stochastic risk-free structure. The aim of this paper is twofold: first, we generalise previous pricing models for corporate bonds; second, we provide a comprehensive formula in order to properly disentangle the contribution of several risk factors to credit spreads.

引用

页码：749 / 762

页数：14

共 33 条

[1] Corporate bond valuation and hedging with stochastic interest rates and endogenous bankruptcy
Acharya, VV
Carpenter, JN
[J]. REVIEW OF FINANCIAL STUDIES, 2002, 15 (05) : 1355 - 1383
[2] Agliardi, 2003, MATH SOC SCI, V45, P75
[3] AGLIARDI E, 2005, RISK LETT, V1, P48
[4] Altman E.I., 1996, FINANC ANAL J, V52, P57
[5] Altman E. I., 2010, Corporate financial distress and bankruptcy: Predict and avoid bankruptcy, analyze and invest in distressed debt, V289
[6] A FURTHER EMPIRICAL-INVESTIGATION OF THE BANKRUPTCY COST QUESTION
ALTMAN, EI
[J]. JOURNAL OF FINANCE, 1984, 39 (04) : 1067 - 1089
[7] [Anonymous], 2004, Credit risk: Modeling, valuation and hedging
[8] Bierwag G.O., 1988, FINANCIAL ANAL J, V44, P39
[9] The costs of bankruptcy: Chapter 7 liquidation versus Chapter 11 reorganization
Bris, A
Welch, I
Zhu, N
[J]. JOURNAL OF FINANCE, 2006, 61 (03) : 1253 - 1303
[10] BRYIS E, J FINAN QUANT ANAL, V32, P239

← 1 2 3 4 →