Corporate Debt Valuation: The Structural Approach

Pascal François

Chapter Chapter 1 in Numerical Methods in Finance, 2005, pp 1-33 from Springer

Abstract: Abstract This chapter surveys the contingent claims literature on the valuation of corporate debt. Model summaries are presented in a continuous-time arbitrage-free economy. After a review of the basic model, I extend the approach to models with an endogenous capital structure, discrete coupon payments, flow-based state variables, interest rate risk, strategic debt service, and more advanced default rules. Finally, I assess the empirical performance of structural models in light of the latest tests available.

Keywords: Credit Risk; Capital Structure; Term Structure; Default Risk; Contingent Claim (search for similar items in EconPapers)
Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-0-387-25118-9_1

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DOI: 10.1007/0-387-25118-9_1

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