Pricing defaultable bonds: a middle-way approach between structural and reduced-form models
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DOI: 10.1080/14697680600670754
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Citations
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Cited by:
- Alain Monfort & Jean-Paul Renne, 2013.
"Default, Liquidity, and Crises: an Econometric Framework,"
Journal of Financial Econometrics,
Society for Financial Econometrics, vol. 11(2), pages 221-262, March.
- Alain Monfort & Jean-Paul Renne, 2010. "Default, Liquidity and Crises : An Econometric Framework," Working Papers 2010-46, Center for Research in Economics and Statistics.
- Monfort, A. & Renne, J-P., 2011. "Default, liquidity and crises: an econometric framework," Working papers 340, Banque de France.
- Mark Craddock & Eckhard Platen, 2001. "Benchmark Pricing of Credit Derivatives Under a Standard Market Model," Research Paper Series 60, Quantitative Finance Research Centre, University of Technology, Sydney.
- Hyong-Chol O & Song-Yon Kim & Dong-Hyok Kim & Chol-Hyok Pak, 2013. "Comprehensive Unified Models of Structural and Reduced Form Models for Defaultable Fixed Income Bonds (Part 1: One factor-model, Part 2:Two factors-model)," Papers 1309.1647, arXiv.org, revised Sep 2013.
- Ballestra, Luca Vincenzo & Pacelli, Graziella, 2014. "Valuing risky debt: A new model combining structural information with the reduced-form approach," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 261-271.
- Hyong-Chol O & Dong-Hyok Kim & Jong-Jun Jo & Song-Hun Ri, 2013. "Integrals of Higher Binary Options and Defaultable Bond with Discrete Default Information," Papers 1305.6988, arXiv.org, revised Oct 2013.
- Gordon Gemmill, 2002. "Testing Merton's Model for Credit Spreads on Zero-Coupon Bonds," Working Papers wp02-08, Warwick Business School, Finance Group.
- Hyong-Chol O. & Jong-Chol Kim & Il-Gwang Jon, 2017. "Numerical analysis for a unified 2 factor model of structural and reduced form types for corporate bonds with fixed discrete coupon," Papers 1709.06517, arXiv.org.
More about this item
Keywords
Stochastic term structure; Defaultable bond; Credit spread; Probability of default; Hazard rate;Statistics
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