haku: @author Schwartz, E. / yhteensä: 11
viite: 5 / 11
Tekijä: | Longstaff, F. Schwartz, E. |
Otsikko: | A simple approach to valuing risky fixed and floating rate debt |
Lehti: | Journal of Finance
1995 : JUL, VOL. 50:3, p. 789-820 |
Asiasana: | DEBT VALUATION ECONOMICS |
Kieli: | eng |
Tiivistelmä: | 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. |
SCIMA