Defaultable Debt Pricing in Multi-Factor Models

• Main Authors: Lim, Kian Guan, Chang, Shiwei, Tsui, Kai Chong
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2002
• Subjects: Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/2633; https://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=8700686&site=ehost-live
• Institution: Singapore Management University

This paper employs the structural approach to study defaultable debt pricing under multi-factor models. We extend existing results under the structural approach in two directions. By incorporating multiple factors, we can capture the impact of other economic variables on the debt prices apart from t...