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Risky debt, jump processes, and safety covenants · Study

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ArticleRisky debt, jump processes, and safety covenants

Scott P. Mason1981

OA

Articlegreen1981

Risky debt, jump processes, and safety covenants

Scott P. Mason · Sudipto Bhattacharya

50 citations·0/0 files stored·Journal of Financial Economics

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Stochastic processes and financial applications Corporate Insolvency and Governance Credit Risk and Financial Regulations

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References

1976Theory of the firm: Managerial behavior, agency costs and ownership structure 1973The Pricing of Options and Corporate Liabilities 1977Determinants of corporate borrowing 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1973Theory of Rational Option Pricing 1976Option pricing when underlying stock returns are discontinuous 1976The valuation of options for alternative stochastic processes 1979On financial contracting

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2002Valuation of Defaultable Claims — A Survey 1996Default risk and derivative products 2007Corporate Pension Funding and Credit Spreads 2011Credit Risk Management 2002Pricing Credit Derivatives with Rating Transitions 1997Pricing Risky Debt 2003OPTIMAL PORTFOLIOS WITH DEFAULTABLE SECURITIES A FIRM VALUE APPROACH

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Year1981

Typearticle

Published1981-09-01

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations50

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/0304-405x(81)90030-1

openalex_workW2056998793

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1998A Direct Approach to Arbitrage-Free Pricing of Credit Derivatives