This paper derives a valuation model of inflation‐indexed convertible bonds that incorporates the firm's stock price, inflation indexing and the firm's credit risk. The pricing of inflation‐indexed convertible bonds traded on the Tel‐Aviv Stock Exchange (TASE) was empirically tested by...

During the 2007-2009 crises financial institutions have come underincreasing pressure from regulators, politicians and shareholders tochange their compensation practices in order to remove the incentive forshort term excessive risk taking. In this paper we analyze first how thecommon executive...

Issuing convertible bonds has become a popular way of raising capital by corporations in the last few years. An important subgroup is convertibles linked to a price index or exchange rate. In this paper we extend the convertible pricing models of Tsiveriotis and Fernandes (1998) and McConnell...

In Issuing convertible bonds has become a popular way of raising capital by corporations in the last few years. An important subgroup is convertibles linked to a price index or exchange rate.The valuation model of inflation-indexed (or equivalently foreign-currency) convertible bonds derived in...

In Issuing convertible bonds has become a popular way of raising capital by corporations in the last few years. An important subgroup is convertibles linked to a price index or exchange rate. The valuation model of inflation-indexed (or equivalently foreign-currency) convertible bonds derived in...

Issuing convertible bonds has become a popular way of raising capital by corporations in the last few years. An important subgroup is convertibles linked to a price index or exchange rate. The valuation model of inflation-indexed (or equivalently foreign-currency) convertible bonds derived in...

Although many credit risk models exist in the academic literature, little attention has been paid to the measurement of credit spread, which is an important input in most of those models.When a reference entity has not issued any straight bond it becomes impossible to calculate credit spread and...