A difficulty that arises when implementing structural bond pricing models is the estimation of
the value and risk of the firm's assets, neither of which is directly observable. We perform a …

We suggest a methodology for valuing corporate securities that allows the straightforward
derivation of closed form solutions for complex scenarios. The tractability of the framework …

Using a set of structural models, we evaluate the price of default protection for a sample of
US corporations. Credit default swaps (CDS) are commonly thought to be less influenced by …

Using a set of structural models, we evaluate the price of default protection for a sample of
US corporations. In contrast to previous evidence from corporate bond data, credit default …

Using a set of structural models, we evaluate bond yield spreads and the price of default
protection for a sample of US corporations. Theory predicts that if credit risk alone explains …

… the bond price at just tn+1, we predict the bond price at {tn+j : j = 1..J} where J is equal to
the total number of bond price observations available (the prediction horizon). Therefore, we …

One of the main objections to applying contingent claims analysis outside the area of
derivatives pricing, such as to the pricing of corporate (or sovereign) debt, has been that it is not …

… Both extension of Leland s equity formula and the prices of bonds are straightforward to
achieve using our building block approach in Ericsson and Reneby [ 1998]. The two building …

The application of contingent claims analysis to the pricing of corporate securities has a
history of about 25 years. The emphasis has been on corporate debt and, after a period of …

… We collect the pricing formulas for the building blocks of Ericsson and Reneby (1998) in the
… Ericsson, J. and Reneby, J. (1998) A framework for valuing corporate securities, Applied …