A comprehensive structural model for defaultable fixed-income bonds

Rossella Agliardi

Quantitative Finance, 2011, vol. 11, issue 5, 749-762

Abstract: An exact valuation formula for defaultable corporate coupon bonds is proved. The model incorporates discrete coupons, bankruptcy costs, taxes and the market risk generated by a stochastic risk-free structure. The aim of this paper is twofold: first, we generalise previous pricing models for corporate bonds; second, we provide a comprehensive formula in order to properly disentangle the contribution of several risk factors to credit spreads.

Keywords: Asset pricing; Coupon bonds; Credit risk; Debt valuation; Default risk; Structural models (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (8)

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DOI: 10.1080/14697680903222451

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