Fischer, Edwin O.; Kampl, Lisa-Maria; Woeckl, Ines - In: Credit and capital markets : Kredit und Kapital 56 (2023) 2, pp. 197-232
This paper is concerned with the valuation and analysis of default-risky debt instruments with arbitrary interest and principal payments. For the valuation, we use three nested multivariate extensions of the standard Merton (1974) model for pricing risky zero-coupon bonds. First, we present a...