A market-based framework for bankruptcy prediction
AS Reisz, C Perlich - Journal of financial stability, 2007 - Elsevier
We estimate probabilities of bankruptcy for 5784 industrial firms in the period 1988–2002 in
a model where common equity is viewed as a down-and-out barrier option on the firm's …
a model where common equity is viewed as a down-and-out barrier option on the firm's …
[PDF][PDF] The Pricing of Finite Maturity Corporate Coupon Bonds with Rating-Based Covenants
S Silva, J Azevedo-Pereira - 2006 - researchgate.net
This paper models the price of finite maturity corporate coupon bonds with a ratingbased
covenant. Bhanot (2003) already addressed this issue, but the corresponding model …
covenant. Bhanot (2003) already addressed this issue, but the corresponding model …
[PDF][PDF] Impacts de la notation financière sur le prix des actions
F Lantin - Editions Universitaires Européennes, Sarrebruck …, 2010 - scd-resnum.univ-lyon3.fr
Le cheminement d'une thèse conduit à la rencontre, aux conseils et aux soutiens de
personnes impliquées dans cette aventure si particulière. Il n'est donc pas de meilleure …
personnes impliquées dans cette aventure si particulière. Il n'est donc pas de meilleure …
A valuation model of credit-rating linked coupon bond based on a structural model
K Yahagi, K Miyazaki - WIT Transactions on Modelling and Simulation, 2006 - witpress.com
A credit-linked coupon bond pays a coupon associated with its credit rating at the time of the
coupon payment date, rather than an amount equal to the initially fixed coupon. The only …
coupon payment date, rather than an amount equal to the initially fixed coupon. The only …
[PDF][PDF] 格付けに応じてクーポンが変化する社債の評価法 (不確実性の下での意思決定と数理モデル)
矢萩一樹， 宮崎浩一 - 数理解析研究所講究録, 2006 - repository.kulib.kyoto-u.ac.jp
ックスを確率過程により表現したうえで, 負債の満期時点において企業価値が負債額を下回る状態
をデフォルトと定義し, Black and Scholes (1973) のオプション評価式を用いて負債の価値を評価 …
をデフォルトと定義し, Black and Scholes (1973) のオプション評価式を用いて負債の価値を評価 …