We study the pricing problem for corporate defaultable bond from the viewpoint of the investors outside the firm that could not exactly know about the information of the firm. We consider the problem for pricing of corporate defaultable bond in the case when the firm value is only declared in...

The aim of this paper is to generalize the comprehensive structural model for defaultable fixed income bonds (considered in) into a comprehensive unified model of structural and reduced form models. In our model the bond holders receive the deterministic coupon at predetermined coupon dates and...

This paper examines the unique ability of The Model: a structural credit risk model proposed in Buellesbach (2015), to match the market in ways unmatched by other well-known structural models. The Model demonstrates the capacity to accurately value firms' equity and debt across the entire credit...

We argue that default option is important for equity valuation and construct a model that explicitly prices the option to default or abandon the firm. An investment strategy that buys stocks that are classified as undervalued by our model and shorts overvalued stocks generates an annual 4-factor...

We examine recovery rates of the European banking sector. To this end, we employ information embedded in credit default swaps (CDS) with different levels of seniority. To estimate implied recovery rates, we extend the model of Schlafer and Uhrig-Homburg (2014) and include absolute priority...

We describe a new framework for collateralized exposure modelling under an ISDA Master Agreement with a Credit Support Annex. The proposed model captures legal and operational aspects of default in considerably greater detail than models currently used by most practitioners, while remaining...

We analyze the interconnection between the sovereign and banking sector risk in the peripheral euro area countries over the 2004Q4-2013Q2 period. Applying the contingent claims methodology, we build indicators of sovereign and banking sector risk (incorporating both market and balance sheet...

This paper provides a comprehensive review of scholarly research on credit risk measurement during the last 57 years applying bibliometric citation analysis and elaborates an agenda for future research. The bibliography is compiled using the ISI Web of Science database and includes all articles...

This paper studies the valuation of a class of default swaps with the embedded option to switch to a different premium and notional principal anytime prior to a credit event. These are early exercisable contracts that give the protection buyer or seller the right to step-up, step-down, or cancel...

In this paper a joint capital asset pricing model and option pricing model is considered and applied to the derivation of an equity's value and its systematic risk. We first analyze the propreties of the two models and present some newly found properties of the option pricing model. We then...