The Impact of Valuation Uncertainty in the Pricing of Risky Debt

Industry interest in equity‐based contingent claims models for evaluating credit risky securities has recently surged. These methods assume away valuation uncertainty that exists in practice. This article explores the impact of valuation uncertainty on these contingent claims models, by analyzing how varying levels of model uncertainty bias default probability estimates obtained from standard contingent claims models.

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Year of publication:	2003
Authors:	SOBEHART, JORGE R. ; KEENAN, SEAN C.
Published in:	The Journal of Risk Finance. - MCB UP Ltd, ISSN 2331-2947, ZDB-ID 2048922-5. - Vol. 4.2003, 2, p. 56-67
Publisher:	MCB UP Ltd

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Type of publication:	Article
Type of publication (narrower categories):	review-article
Language:	English
Other identifiers:	10.1108/eb022962 [DOI]
Source:	Other ZBW resources

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014901664