A Certainty Eqivalent Approach to Municipal Bond Default Risk Estimation
This paper extends the risk-neutrality default model of municipal bonds to consider the effect of risk aversion on the estimation of default probability. A model is proposed to separate the default risk assessment from the investor's risk aversion. Empirical results show that the risk-neutralit...
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
1991
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| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/812 |
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| Institution: | Singapore Management University |
| Language: | English |