The Effect of Taxes on the Pricing of Defaultable Debt

• Main Authors: LIM, Kian Guan, SONG, Fenghua, WARACHKA, Mitchell Craig
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2003
• Subjects: Corporate Finance; Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/4575; https://ink.library.smu.edu.sg/context/lkcsb_research/article/5574/viewcontent/The_Effect_of_Taxes_on_the_Pricing_of_Defaultable_Debt.pdf
• Institution: Singapore Management University

Empirical studies have documented the dependence of corporate credit spreads on default risk, equity premiums, and taxes. However, taxes have previously not been incorporated into reduced-form credit risk models. Therefore, we first extend the existing literature by considering a default intensity t...