This article designs what it calls a Credit-Risk Balance Sheet (the risk being that of default by customers), a tool which, in principle, can contribute to revealing, controlling and managing the bad debt risk arising from a companys commercial credit, whose amount can represent a significant...

In this work the valuation methodology of compound option written on a downand-out call option, developed by Ericsson and Reneby (2003), has been applied to deduce a credit risk model. It is supposed that the firm has a debt structure with two maturity dates and that the credit event takes place...

This article has an immediate predecessor, upon which it is based and with which readers must necessarily be familiar: Towards a Theory of the Credit-Risk Balance Sheet (Vallverdu, Somoza and Moya, 2006). The Balance Sheet is conceptualised on the basis of the duality of a credit-based...

An empirical application of Hull-White model (2000) to the Spanish market is presented. This model provides an expression to calculate the payment made by credit default swap (CDS) buyer when there is no counterparty default risk. Moreover, it is assumed that the yield par curve, the recovery...