RT Journal Article
SR Electronic
T1 Pricing Convertible Bonds with Default Risk
JF The Journal of Fixed Income
FD Institutional Investor Journals
SP 20
OP 29
DO 10.3905/jfi.2001.319302
VO 11
IS 3
A1 Akihiko Takahashi
A1 Takao Kobayashi
A1 Naruhisa Nakagawa
YR 2001
UL https://pm-research.com/content/11/3/20.abstract
AB This article proposes a new method to value convertible bonds. It characterizes default risk exogenously, and provides a consistent and practical reduced-form approach for relative pricing of securities including convertible and non-convertible corporate bonds and equities. The authors demonstrate the method with numerical examples using Japanese convertible bond data, and compare the model to other practical models.