search query: @author Schwartz, E. / total: 11
reference: 5 / 11
| Author: | Longstaff, F. Schwartz, E. |
| Title: | A simple approach to valuing risky fixed and floating rate debt |
| Journal: | Journal of Finance
1995 : JUL, VOL. 50:3, p. 789-820 |
| Index terms: | DEBT VALUATION ECONOMICS |
| Language: | eng |
| Abstract: | The authors develop a simple approach to valuing risky corporate debt that incorporates both default and interest rate risk. They use this approach to derive simple closed-form valuation expressions for fixed and floating rate of debt. The model provides a number of interesting new insights about pricing and hedging corporate debt securities. For example, they find that the correlation between default risk and the interest rate has a significant effect on the properties of the credit spread. |
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