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An integrated pricing model for defaultable loans and bonds · Study

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ArticleAn integrated pricing model for defaultable loans and bonds

Mario Onorato2004

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Articlegreen2004

An integrated pricing model for defaultable loans and bonds

Mario Onorato · Edward I. Altman

16 citations·0/0 files stored·European Journal of Operational Research

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Credit Risk and Financial Regulations Stochastic processes and financial applications Financial Distress and Bankruptcy Prediction

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References

1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1979Martingales and arbitrage in multiperiod securities markets 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 1999Modeling Term Structures of Defaultable Bonds 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt 1995Pricing Derivatives on Financial Securities Subject to Credit Risk 2000Specification Analysis of Affine Term Structure Models 1997A Markov Model for the Term Structure of Credit Risk Spreads

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2002Pricing Credit Derivatives with Rating Transitionsarticle · 19 shared references 2000The intersection of market and credit riskarticle · 17 shared references 1999Modeling Term Structures of Defaultable Bondsarticle · 16 shared references 2000A Discrete-Time Approach to Arbitrage-Free Pricing of Credit Derivativesarticle · 15 shared references 2006The Jarrow/Turnbull default risk model—Evidence from the German marketarticle · 15 shared references 2008Default recovery rates and LGD in credit risk modelling and practice: An updated review of the literature and empirical evidencechapter · 14 shared references

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Year2004

Typearticle

Published2004-02-29

VenueEuropean Journal of Operational Research

ISSN-L0377-2217

Languageen

Citations16

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.1016/j.ejor.2003.12.006

openalex_workW3122497712

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