"Pricing Convertible Bonds with Credit Risk: A Duffie-Singleton Approach "(in Japanese)
AbstractThis paper proposes a method to price convertible bonds with credit risk using Duffie-Singleton approach to handle credit risk. As such it also provides a method to replicate convertibles by trading common stocks and corporate bonds of the issuing company. Empirical comparison with existing models which incorporate credit risk is provided using Japanese convertible bond data.
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Bibliographic InfoPaper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE J-Series with number CIRJE-J-45.
Length: 35 pages
Date of creation: Feb 2001
Date of revision:
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