A feature of credit markets is the large difference between probabilities of default calculated from historical data and probabilities of default implied from bond prices (or from credit default swaps). This paper illustrates and discusses the reasons for the difference between historical and...

This paper provides extensions to existing procedures for representing one-factor no-arbitrage models of the short rate in the form of a tree. It allows a wide range of drift functions for the short rate to be used in conjunction with a wide range of volatility assumptions. It shows that, if the...

A market-leveraged stock unit (MSU) is a form of employee compensation in which the number of shares received on the vesting date depends on the stock price at that time. MSUs have been proposed as a way of overcoming some of the drawbacks of stock options and restricted stock units. In this...