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Convertible Bonds: Risks and Optimal Strategies
Huang, Haishi - 2010
Within the structural approach for credit risk models we discuss the optimal exercise of the callable and convertible bonds. The Vasiček-model is applied to incorporate interest rate risk into the firm’s value process which follows a geometric Brownian motion. Finally, we derive pricing...
Persistent link: https://www.econbiz.de/10010270423
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Convertible Bonds: Default Risk and Uncertain Volatility
Huang, Haishi - 2010
Within a default intensity approach we discuss the optimal exercise of the callable and convertible bonds. Pricing bounds for convertible bonds are derived in an uncertain volatility model, i.e. when the volatility of the stock price process lies between two extreme values.
Persistent link: https://www.econbiz.de/10010270426
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Impact of IAS 12 on Deferred Taxes Regulation in the Czech Republic.
Žárová, Marcela - In: European Financial and Accounting Journal 5 (2010) 1, pp. 6-27
of the Czech accounting system from early nineties of last century till present time as a background for IFRS … implementation into Czech accounting system is an example of partial and incomplete implementation of IFRS into domestic accounting … rules based on different law presumption than under which are IFRS developed. Example of IAS 12 implementation into Czech …
Persistent link: https://www.econbiz.de/10010512855
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Impact of IFRS on Deferred Taxes Methodology in the Czech Republic and comparison with IFRS for SMEs
Žárová, Marcela - In: European Financial and Accounting Journal 6 (2011) 1, pp. 19-38
Investigating impact of IFRS on the accounting regulatory system in the Czech Republic, there should be highlighted … that IFRS were introduced into the regulatory system gradually as a separate regulatory system for determined group of … accounting entities, on the other hand IFRS have had influence on the development of the local accounting rules during last …
Persistent link: https://www.econbiz.de/10010512874
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Devising a non-standard convertible zero-coupon bond to enhance corporate governance
Apreda, Rodolfo - 2010
This research paper brings forward a non-standard convertible zero-coupon bond endowed with a set of distinctive features attached to it so as to strengthen the corporate governance of the issuer, namely that conversion actually takes place at maturity date only; that conversion is mandatory; it...
Persistent link: https://www.econbiz.de/10010323155
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A Simple and Precise Method for Pricing Convertible Bond with Credit Risk
Xiao, Tim - In: Journal of Derivatives & Hedge Funds 19 (2013) 4, pp. 259-277
This paper presents a new model for valuing hybrid defaultable financial instruments, such as, convertible bonds. In contrast to previous studies, the model relies on the probability distribution of a default jump rather than the default jump itself, as the default jump is usually inaccessible....
Persistent link: https://www.econbiz.de/10012020162
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Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds
Xiao, Tim - In: International Journal of Financial Markets and Derivatives 4 (2015) 1, pp. 1-25
This paper argues that the reduced-form jump diffusion model may not be appropriate for credit risk modeling. To correctly value hybrid defaultable financial instruments, e.g., convertible bonds, we present a new framework that relies on the probability distribution of a default jump rather than...
Persistent link: https://www.econbiz.de/10012023918
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The essence of the emerging markets' investment risk: Comparative analysis of American and Central European convertible bond issuers
Marszałe, Jakub - In: Comparative Economic Research. Central and Eastern Europe 18 (2015) 3, pp. 81-97
This paper attempts to identify the determinants of credit ratings for debt instrument issuers in the so-called emerging markets. The study was conducted on the sample of convertible bonds issuers in 2001-2012, half of which originated from Central and Eastern Europe, while the rest were U.S....
Persistent link: https://www.econbiz.de/10011922382
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The impact of financial constraints on the convertible bond announcement returns
Chang, Chong-Chuo; Kam, Tai-Yung; Chien, Chih-Chung; … - In: Economies 7 (2019) 2, pp. 1-9
As of now, very few research studies have examined the effects of financial constraints on the short- and long-term performances of companies after their announcement of convertible bonds. Due to asymmetric information, previous studies consider issuance of convertible bonds as negative news. As...
Persistent link: https://www.econbiz.de/10013199544
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On the use of numeraires in option pricing
Benninga, Simon; Björk, Tomas; Wiener, Zvi - 2001
In this paper we discuss the significant computational simplification that occurs when option pricing is approached through the change of numeraire technique. The original impetus was a recently published paper (Hoang, Powell, Shi 1999) on endowment options; in the present paper we extend these...
Persistent link: https://www.econbiz.de/10010281218