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Hsu et al., 2003 - Google Patents

Bond pricing with default risk

Hsu et al., 2003

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Document ID
11767528518276671238
Author
Hsu J
Saa-Requejo J
Santa-Clara P
Publication year

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Snippet

We price corporate debt from a structural model of firm default. We assume that the capital market brings about efficient firm default when the continuation value of the firm falls below the value it would have after bankruptcy restructuring. This characterization of default makes …
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    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/06—Investment, e.g. financial instruments, portfolio management or fund management
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    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
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