Un modelo de riesgo de credito basado en opciones compuestas con barrera. Aplicacion al mercado continuo espanol
In this work the valuation methodology of compound option written on a downand-out call option, developed by Ericsson and Reneby (2003), has been applied to deduce a credit risk model. It is supposed that the firm has a debt structure with two maturity dates and that the credit event takes place when the assets firm value falls under a determined level called barrier. An empirical application of the model for 105 firms of Spanish continuous market is carried out. For each one of them its value in the date of analysis, the volatility and the critical value are obtained and from these, the default probability to short and long-term and the implicit probability in the two previous probabilities are deduced. The results are compared with the ones obtained from the Geske model (1977).
|Date of creation:||2006|
|Date of revision:|
|Contact details of provider:|| Postal: Espai de Recerca en Economia, Facultat de CiÃ¨ncies EconÃ²miques. Tinent Coronel Valenzuela, Num 1-11 08034 Barcelona. Spain.|
Phone: +34 93 402 43 13cazza
Web page: http://www.ere.ub.es
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Merton, Robert C., 1973.
"On the pricing of corporate debt: the risk structure of interest rates,"
684-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-70, May.
- Jarrow, Robert A & Turnbull, Stuart M, 1995. " Pricing Derivatives on Financial Securities Subject to Credit Risk," Journal of Finance, American Finance Association, vol. 50(1), pages 53-85, March.
- Jan Ericsson & Joel Reneby, 2003.
"Stock options as barrier contingent claims,"
Applied Mathematical Finance,
Taylor & Francis Journals, vol. 10(2), pages 121-147.
- Ericsson, Jan & Reneby, Joel, 1996. "Stock Options as Barrier Contingent Claims," SSE/EFI Working Paper Series in Economics and Finance 137, Stockholm School of Economics, revised 01 Feb 2002.
- Geske, Robert, 1977. "The Valuation of Corporate Liabilities as Compound Options," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(04), pages 541-552, November.
- Duffie, Darrell & Singleton, Kenneth J, 1999. "Modeling Term Structures of Defaultable Bonds," Review of Financial Studies, Society for Financial Studies, vol. 12(4), pages 687-720.
- Black, Fischer & Cox, John C, 1976. "Valuing Corporate Securities: Some Effects of Bond Indenture Provisions," Journal of Finance, American Finance Association, vol. 31(2), pages 351-67, May.
- Robert A. Jarrow, 2009. "Credit Risk Models," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 37-68, November.
- Ericsson, Jan & Reneby, Joel, 1995.
"A Framework for Valuing Corporate Securities,"
SSE/EFI Working Paper Series in Economics and Finance
89, Stockholm School of Economics, revised Oct 1998.
- Geske, Robert, 1979. "The valuation of compound options," Journal of Financial Economics, Elsevier, vol. 7(1), pages 63-81, March.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
- Young Ho Eom, 2004. "Structural Models of Corporate Bond Pricing: An Empirical Analysis," Review of Financial Studies, Society for Financial Studies, vol. 17(2), pages 499-544.
- Briys, Eric & de Varenne, François, 1997. "Valuing Risky Fixed Rate Debt: An Extension," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 32(02), pages 239-248, June.
- Brockman, Paul & Turtle, H. J., 2003. "A barrier option framework for corporate security valuation," Journal of Financial Economics, Elsevier, vol. 67(3), pages 511-529, March.
- Peña Sánchez de Rivera, Juan Ignacio & Forte, Santiago, 2003. "Debt refinancing and credit risk," DEE - Working Papers. Business Economics. WB wb031704, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
When requesting a correction, please mention this item's handle: RePEc:bar:bedcje:2006156. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Espai de Recerca en Economia)
If references are entirely missing, you can add them using this form.