Search Results - subject:"structural bond pricing models"

The Valuation of Corporate Liabilities: Theory and Tests

Reneby, Joel; Ericsson, Jan - Economics Institute for Research (SIR), … - 2001

structural bond pricing models with market prices. Instead, much of the research in the area has shifted its focus to the …. Huang & Huang (2002) calibrate several structural bond pricing models to historical default and recovery data, the equity … bond pricing models. The first published test of contingent claims models for the valuation of corporate debt was carried …

Persistent link: https://www.econbiz.de/10005423799

The valuation of corporate liabilities: Theory and tests

Ericsson, Jan; Reneby, Joel - 2001

We develop a structural bond pricing approach and implement it on a large panel of US industrial bonds using an efficient maximum likelihood methodology. We evaluate the model's ability to predict yield spread levels and changes out-of-sample. Errors are smaller and distinctly less variable than...

Persistent link: https://www.econbiz.de/10010281391