Credit Risk: Constructing the Basic Building Blocks

Lane P. Hughston and Stuart M. Turnbull

Economic Notes, 2001, vol. 30, issue 2, 281-292

Abstract: type="main" xml:lang="en">

This paper uses three basic results to address three problems. The first problem concerns the pricing of corporate bonds, when in the event of default the claim of the bond holders is on the principal of the bond plus accrued interest. The second concerns the pricing of revolver loans, and the third problem we address is the valuation of the collateral associated with a loan.

(J.E.L.: G12, G13)

Date: 2001
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