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"Pricing Convertible Bonds with Credit Risk: A Duffie-Singleton Approach "(in Japanese)

Author

Listed:
  • Akihiko Takahashi

    (Graduate School of Mathematical Sciences, University of Tokyo)

  • Takao Kobayashi

    (Faculty of Economics, University of Tokyo)

  • Naruhisa Nakagawa

    (Department of Economics, University of Tokyo)

Abstract

This 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.

Suggested Citation

  • Akihiko Takahashi & Takao Kobayashi & Naruhisa Nakagawa, 2001. ""Pricing Convertible Bonds with Credit Risk: A Duffie-Singleton Approach "(in Japanese)," CIRJE J-Series CIRJE-J-45, CIRJE, Faculty of Economics, University of Tokyo.
  • Handle: RePEc:tky:jseres:2001cj45
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    File URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2001/2001cj45.pdf
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