Evaluating Corporate Bonds with Complicated Liability Structures and Bond Provisions

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题名:	Evaluating Corporate Bonds with Complicated Liability Structures and Bond Provisions
作者:	Wang, Chuan-Ju;王釧茹;Dai, Tian-Shyr;Lyuu, Yuh-Dauh
贡献者:	臺北市立大學資訊科學系
关键词:	Pricing;Credit risk;Structural model;Default
日期:	2014-09-01
上传时间:	2019-02-14
摘要:	This paper presents a general and numerically accurate lattice methodology to price risky corporate bonds. It can handle complex default boundaries, discrete payments, various asset sales assumptions, and early redemption provisions for which closed-form solutions are unavailable. Furthermore, it can price a portfolio of bonds that accounts for their complex interaction, whereas traditional approaches can only price each bond individually or a small portfolio of highly simplistic bonds. Because of the generality and accuracy of our method, it is used to investigate how credit spreads are influenced by the bond provisions and the change in a firm’s liability structure due to bond repayments.
關聯:	European Journal of Operational Research
显示于类别:	[資訊科學系] 期刊論文

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