Credit Risk: Constructing the Basic Building Blocks

type="main" xml:lang="en"> <p>This paper uses three basic results to address three problems. The first problem concerns the pricing of corporate bonds, when in the event of default the claim of the bond holders is on the principal of the bond plus accrued interest. The second concerns the pricing of revolver loans, and the third problem we address is the valuation of the collateral associated with a loan. <p>(J.E.L.: G12, G13)

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Year of publication:	2001
Authors:	Hughston, Lane P. ; Turnbull, Stuart M.
Published in:	Economic Notes. - Banca Monte dei Paschi di Siena SpA. - Vol. 30.2001, 2, p. 281-292
Publisher:	Banca Monte dei Paschi di Siena SpA

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

Persistent link: https://www.econbiz.de/10011033549