An exact valuation formula for defaultable corporate coupon bonds is proved. The model incorporates discrete coupons, bankruptcy costs, taxes and the market risk generated by a stochastic risk-free structure. The aim of this paper is twofold: first, we generalise previous pricing models for corporate bonds; second, we provide a comprehensive formula in order to properly disentangle the contribution of several risk factors to credit spreads.
Agliardi R. (2011). A comprehensive structural model for defaultable fixed-income bonds. QUANTITATIVE FINANCE, 11, 749-762 [10.1080/14697680903222451].
A comprehensive structural model for defaultable fixed-income bonds
AGLIARDI, ROSSELLA
2011
Abstract
An exact valuation formula for defaultable corporate coupon bonds is proved. The model incorporates discrete coupons, bankruptcy costs, taxes and the market risk generated by a stochastic risk-free structure. The aim of this paper is twofold: first, we generalise previous pricing models for corporate bonds; second, we provide a comprehensive formula in order to properly disentangle the contribution of several risk factors to credit spreads.File in questo prodotto:
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