Defaultable Debt Pricing in Multi-Factor Models

• المؤلفون الرئيسيون: Lim, Kian Guan, Chang, Shiwei, Tsui, Kai Chong
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2002
• الموضوعات: Finance and Financial Management; Portfolio and Security Analysis
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/lkcsb_research/2633; https://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=8700686&site=ehost-live
• المؤسسة: 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...