"Pricing Convertible Bonds with Credit Risk: A Duffie-Singleton Approach "(in Japanese)

Akihiko Takahashi, Takao Kobayashi () and Naruhisa Nakagawa
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Akihiko Takahashi: Graduate School of Mathematical Sciences, University of Tokyo
Naruhisa Nakagawa: Department of Economics, University of Tokyo

No CIRJE-J-45, CIRJE J-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: This paper proposes a method to price convertible bonds with credit risk using Duffie-Singleton approach to handle credit risk. As such it also provides a method to replicate convertibles by trading common stocks and corporate bonds of the issuing company. Empirical comparison with existing models which incorporate credit risk is provided using Japanese convertible bond data.

Pages: 35 pages
Date: 2001-02
New Economics Papers: this item is included in nep-fin
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:tky:jseres:2001cj45

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