Das, Sanjiv R.; Sundaram, Rangarajan K. - In: Management Science 53 (2007) 9, pp. 1439-1451
We develop a model for pricing securities whose value may depend simultaneously on equity, interest-rate, and default risks. The framework may also be used to extract probabilities of default (PD) functions from market data. Our approach is entirely based on observables such as equity prices and...