Fischer, Edwin O.; Kampl, Lisa-Maria; Wöckl, Ines - In: Credit and capital markets : Kredit und Kapital 56 (2023) 3/4, pp. 287-312
This paper is concerned with the valuation and analysis of risky debt instruments with arbitrary interest and principal payments subject to default risk. We use a discrete risk-neutral present value model with expected payments for risk-neutral investors and risk-free spot rates for the...