Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds
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References listed on IDEAS
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More about this item
Keywordsjump diffusion model; hybrid financial instrument; convertible bond; convertible underpricing; convertible arbitrage; default time approach; default probability (intensity) approach; asset pricing; credit risk modeling.;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-06-09 (All new papers)
- NEP-BAN-2013-06-09 (Banking)
- NEP-RMG-2013-06-09 (Risk Management)
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