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| Author: | Moss, D. |
| Title: | Cross-market valuation |
| Journal: | Risk
2004 : APR, VOL. 17:4, p. 79-83 |
| Index terms: | bonds credit derivative securities financial models risk valuation |
| Language: | eng |
| Abstract: | In this article, the writer aims to determine what credit margin to use when valuing credit-risky derivatives. The article also examines how relative value trading and capital structure arbitrage can be analyzed quantitatively. The writer develops a valuation model and applies it to France Telecom and convertible bonds. |
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