A comprehensive structural model for defaultable fixed-income bonds

An exact valuation formula for defaultable corporate coupon bonds is proved. The model incorporates discrete coupons, bankruptcy costs, taxes and the market risk generated by a stochastic risk-free structure. The aim of this paper is twofold: first, we generalise previous pricing models for corporate bonds; second, we provide a comprehensive formula in order to properly disentangle the contribution of several risk factors to credit spreads.

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Year of publication:	2011
Authors:	Agliardi, Rossella
Published in:	Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 11.2011, 5, p. 749-762
Publisher:	Taylor & Francis Journals
Subject:	Asset pricing \| Coupon bonds \| Credit risk \| Debt valuation \| Default risk \| Structural models

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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