Journal article
A modified structural model for credit risk
- Abstract:
-
In this paper, we modify classical structural models such as the Black-Cox model and Merton's model by indifference pricing. The reason of doing this is because the assets of a firm, which are traditionally regarded as the underlying and used to hedge the credit risk, are usually non-tradeable in the market. We introduce the firm's stock and a financial index in the market to hedge the credit risk and derive the price of the defaultable corporate bond by indifference valuation. The correspond...
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- Publication status:
- Published
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- Publisher copy:
- 10.1093/imaman/dpr004
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Authors
Bibliographic Details
- Publisher:
- Oxford University Press
- Journal:
- IMA JOURNAL OF MANAGEMENT MATHEMATICS
- Volume:
- 23
- Issue:
- 2
- Pages:
- 147-170
- Publication date:
- 2012-04-01
- DOI:
- EISSN:
-
1471-6798
- ISSN:
-
1471-678X
- Source identifiers:
-
321539
Item Description
- Language:
- English
- Keywords:
- Pubs id:
-
pubs:321539
- UUID:
-
uuid:c6b4a351-ef8f-406c-ad2c-02b2e52e9c42
- Local pid:
- pubs:321539
- Deposit date:
- 2012-12-19
Terms of use
- Copyright date:
- 2012
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