The Pricing of Risky Bonds: Current Models and Future Directions

Hyungsok Ahn, Varqa Khadem and Paul Wilmott

OFRC Working Papers Series from Oxford Financial Research Centre

Abstract: The modelling of credit risk, credit derivatives and non-hedgeable securities in general is currently in a poor state. Ideas from equity options theory have been adopted for credit risk, but have not been adapted for the peculiarities of this more complex world. This brief paper is a review and critique of current ideas and models, and includes suggestions for a more sophisticated realisitic and ultimately more sensible approach. The bibliography at the end should provide a useful source for the current state of the art.

Date: 1999
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.finance.ox.ac.uk/file_links/finecon_papers/1999mf07.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to www.finance.ox.ac.uk:80 (No such host is known. )

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sbs:wpsefe:1999mf07

Access Statistics for this paper

More papers in OFRC Working Papers Series from Oxford Financial Research Centre Contact information at EDIRC.
Bibliographic data for series maintained by Maxine Collett ().