"Pricing Convertible Bonds with Default Risk: A Duffie-Singleton Approach"

We propose a new method to value convertible bonds(CBs). In particular, we explicitly take default risk into consideration based on Duffie-Singleton(1999), and provide a consistent and practical method for relative pricing of securities issued by a firm such as CBs, non-convertible corporate bonds and equities. Moreover, we show numerical examples using Japanese CBs' data, and compare our model with other practical models.

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Year of publication:	2001-11
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 F-Series.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number CIRJE-F-140 34 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005121129