Unlike in structural and reduced-form models, we use equity as a liquid and observable primitive to analytically value corporate bonds and credit default swaps.Restrictive assumptions on the .rm.s capital structure are avoided.Default is parsimoniously represented by equity value hitting the...

Companies are sometimes accused of misleading the market. The SEC can punish this with enforcement actions. Alternatively, shareholders can seek redress through a shareholder class action (SCA). While some literature has examined SEC actions, it has not examined SCAs, and has not examined...

Payments of life insurance products depend on the uncertain future evolution of survival probabilities. This uncertainty is referred to as longevity risk. Existing literature shows that the effect of longevity risk on single life annuities can be substantial, and that there exists a (natural)...

Although there is a broad literature on structural credit risk models, there has been little empirical testing of these models.In this paper we examine the term structure of credit spreads on euro corporate bonds and the empirical validation of structural credit risk models.The latter provide a...

This paper examines the effect of temporarily suspending the trading of exchange-listed individual stocks.We evaluate whether the regulatory authorities can successfully use the mechanism of trading halts in forcing companies to disclose new and material information to the capital market.In...