"Pricing Convertible Bonds with Credit Risk: A Duffie-Singleton Approach "(in Japanese)

This paper proposes a method to price convertible bonds with credit risk using Duffie-Singleton approach to handle credit risk. As such it also provides a method to replicate convertibles by trading common stocks and corporate bonds of the issuing company. Empirical comparison with existing models which incorporate credit risk is provided using Japanese convertible bond data.

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Year of publication:	2001-02
Authors:	Takahashi, Akihiko ; Kobayashi, Takao ; Nakagawa, Naruhisa
Institutions:	Center for International Research on the Japanese Economy (CIRJE), Faculty of Economics

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Extent:	application/pdf
Series:	CIRJE J-Series.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number CIRJE-J-45 35 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005467643