منابع مشابه
Optimal Investment in a Defaultable Bond
The present paper analyzes the optimal investment strategy in a defaultable (corporate) bond and a money market account in a continuous time model. Due to jumps in the bond price our market model is incomplete. The treatment of information on the firm’s asset value is based on an approach unifying the structural model and the reduced-form model. Specifically, the asset value will be assumed to ...
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Three alternative approaches to the valuation of a defaultable coupon bond in an extended Merton’s model are given. Probabilistic approach yields a closed-form expression for the arbitrage price of this bond. A boundary value problem method is based on the concept of an CD-extended generator for Markov processes. The third approach relies on a recursive procedure method in which at every step a...
متن کاملStress-testing Model of Defaultable Bond Values Banking Policy Department
This paper develops a stress-testing model to value defaultable bonds under stressful market conditions. Default occurs when some signaling process hits a pre-defined default barrier. The signaling variable is considered to be some macro-economic variables such as foreign exchange rates. The dynamics of the default barrier depends on the volatility and the drift of the signaling variable. We de...
متن کاملValuation Model of Defaultable Bond Values in Emerging Markets
This paper develops a model to value defaultable bonds in emerging markets. Default occurs when some signaling process hits a pre-defined default barrier. The signaling variable is considered to be some macro-economic variables such as foreign exchange rates. The dynamics of the default barrier depend on the volatility and the drift of the signaling variable. We derive a closedform solution of ...
متن کاملAn Integral-equation Approach for Defaultable Bond Prices with Application to Credit Spreads
We study defaultable bond prices in the Black–Cox model with jumps in the asset value. The jump-size distribution is arbitrary, and following Longstaff and Schwartz (1995) and Zhou (2001) we assume that, if default occurs, the recovery at maturity depends on the ‘severity of default’. Under this general setting, the vehicle for our analysis is an integral equation. With the aid of this, we prov...
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ژورنال
عنوان ژورنال: Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications
سال: 2011
ISSN: 2188-4730,2188-4749
DOI: 10.5687/sss.2011.96