Takao Kobayashi (Faculty of Economics, The University of Tokyo)
Abstract
This article originates from a speech given by the author in the seminar organized by the Security Analysts Association of Japan (SAAJ) on September fifth of 2003 to commemorate the founding of the Certified International Investment Analyst (CIIA) qualification. In the first half, I give a fairly comprehensive, non-quantitative summary of the recent developments of credit risk modeling approaches and techniques. In the latter half, I illustrate a new convertible-bond (CB) pricing model that we developed using the reduced-form approach to handle the credit-risk component embedded in convertible bonds. I also present some results of applying our model and, for comparison, a structural model, to Japanese CB markets.
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Publisher Info
Paper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE J-Series with number
CIRJE-J-100.