A comprehensive unified model of structural and reduced form type for defaultable fixed income bonds
Authors
Abstract:
The aim of this paper is to generalize the comprehensive structural model for defaultable fixed income bonds (considered in R. Agliardi, A comprehensive structural model for defaultable fixed-income bondsو Quant. Finance 11 (2011), no. 5, 749--762.) into a comprehensive unified model of structural and reduced form models. In our model the bond holders receive the deterministic coupon at predetermined coupon dates and the face value (debt) and the coupon at the maturity as well as the effect of government taxes which are paid on the proceeds of an investment in bonds is considered. The expected default event occurs when the equity value is not enough to pay coupon or debt at the coupon dates or maturity and an unexpected default event can occur at any time interval with the probability of given default intensity. We consider the model and pricing formula for equity value and using it calculate expected default barrier. Then we provide pricing model and formula for defaultable corporate bonds with discrete coupons, and consider the duration and the effect of the government taxes.
similar resources
the investigation of the relationship between type a and type b personalities and quality of translation
چکیده ندارد.
the innovation of a statistical model to estimate dependable rainfall (dr) and develop it for determination and classification of drought and wet years of iran
آب حاصل از بارش منبع تأمین نیازهای بی شمار جانداران به ویژه انسان است و هرگونه کاهش در کم و کیف آن مستقیماً حیات موجودات زنده را تحت تأثیر منفی قرار می دهد. نوسان سال به سال بارش از ویژگی های اساسی و بسیار مهم بارش های سالانه ایران محسوب می شود که آثار زیان بار آن در تمام عرصه های اقتصادی، اجتماعی و حتی سیاسی- امنیتی به نحوی منعکس می شود. چون میزان آب ناشی از بارش یکی از مولفه های اصلی برنامه ...
15 صفحه اولAn integrated pricing model for defaultable loans and bonds
In recent years, credit risk has played a key role in risk management issues. Practitioners, academics and regulators have been fully involved in the process of developing, studying and analysing credit risk models in order to find the elements which characterize a sound risk management system. In this paper we present an integrated model, based on a reduced pricing approach, for market and cre...
full textTerm Structures of Defaultable Bonds
In this essay we introduce three types of credit pricing models: first and second generation structural-form models and reduced-form models with relative papers and their main results. This paper mainly focuses on the reduced-form credit pricing model by explaining Duffie and Singleton’s paper Modeling Term Structure of Defaultable Bonds (1999). A detailed explanation of the paper’s deductions ...
full textinvestigating the feasibility of a proposed model for geometric design of deployable arch structures
deployable scissor type structures are composed of the so-called scissor-like elements (sles), which are connected to each other at an intermediate point through a pivotal connection and allow them to be folded into a compact bundle for storage or transport. several sles are connected to each other in order to form units with regular polygonal plan views. the sides and radii of the polygons are...
My Resources
Journal title
volume 43 issue 3
pages 575- 599
publication date 2017-06-01
By following a journal you will be notified via email when a new issue of this journal is published.
Hosted on Doprax cloud platform doprax.com
copyright © 2015-2023