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Valuing Corporate Liabilities When the Default Threshold is Not an Absorbing Barrier · Study

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PreprintValuing Corporate Liabilities When the Default Threshold is Not an Absorbing Barrier

Franck Moraux2002

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Preprintgreen2002

Valuing Corporate Liabilities When the Default Threshold is Not an Absorbing Barrier

51 citations·0/0 files stored·SSRN Electronic Journal

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

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References

1973The Pricing of Options and Corporate Liabilities 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1994Corporate Debt Value, Bond Covenants, and Optimal Capital Structure 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS 1996Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads 1996Design and Valuation of Debt Contracts 1995Postbankruptcy Performance and Management Turnover 1997Strategic Debt Service

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2006CREDIT RISK MODELS II: STRUCTURAL MODELS 2014Inside debt renegotiation: Optimal debt reduction, timing, and the number of rounds 2005Liquidation Triggers and the Valuation of Equity and Debt 2012Resolution of financial distress under Chapter 11 2010A structural model of debt pricing with creditor-determined liquidation 2014Liquidation risk in the presence of Chapters 7 and 11 of the US bankruptcy code

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2006CREDIT RISK MODELS II: STRUCTURAL MODELSpreprint · 13 shared references 2007A market-based framework for bankruptcy predictionarticle · 11 shared references 2005Liquidation Triggers and the Valuation of Equity and Debtpreprint · 11 shared references 2007Liquidation triggers and the valuation of equity and debtarticle · 10 shared references 2002Valuation of Defaultable Claims — A Surveyarticle · 10 shared references 2009Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimationarticle · 9 shared references

Details

Year2002

Typepreprint

Published2002-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations51

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.314404

openalex_workW2458292

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