This review provides formal definitions of the terms credit value adjustment (CVA) and debt value adjustment (DVA). Estimating these quantities requires modeling the probabilities of default and the loss given default, recognizing the dependence structure among all these inputs. In practice,...

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...</p>

type="main" xml:lang="en" <p>Given the objective of maximizing the wealth of existing shareholders, this paper discusses some of the issues that arise in attempting to measure the performance of individual businesses within a bank. The paper describes two return measures – return on assets within...</p>

The paper examines three equity-based structural models to study the nonlinear relationship between equity and credit default swap (CDS) prices. These models differ in the specification of the default barrier. With cross-firm CDS premia and equity information, we are able to estimate and compare...

The authors use Jarrow and Turnbull's (1995) reduced-form methodology to model the evolution of the term structure of interest rates in the United States for different credit classes and different industries. The authors also estimate a liquidity function for each credit class and industry....

This study examines the assumption that the exchange rate follows a log-normal probability distribution and it tests whether different stochastic specifications translate into important differences in implied option prices. The authors investigate a class of processes, which includes the...