Ikeda, Ryoichi; Kobayashi, Takao - Center for Advanced Research in Finance, Faculty of … - 2007
This paper proposes a structural model to price credit risk of firms with short-term and long -term debts. In Ikeda, Kobayashi, and Takahashi (2005), since it assumed that the short-term debt is refunded by issuing a new short-term debt only, the future face value of the short-term debt depends...