Journal ArticleDOI
A dynamic program for valuing corporate securities
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TLDR
In this paper, a dynamic program for valuing corporate securities, seen as derivatives on a firm's assets, and computing the term structure of yield spreads and default probabilities is presented.About:
This article is published in European Journal of Operational Research.The article was published on 2016-03-01. It has received 17 citations till now. The article focuses on the topics: Flexibility (engineering) & Corporate security.read more
Citations
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Mathematical Methods Of Statistics
TL;DR: The mathematical methods of statistics is universally compatible with any devices to read and is available in the book collection an online access to it is set as public so you can download it instantly.
The Components of Corporate Credit Spreads: Default, Recovery, Tax, Jumps, Liquidity, and Market Factors - eScholarship
Gordon Delianedis,Robert Geske +1 more
TL;DR: In this article, the authors analyze the components of corporate credit spreads and conclude that default risk may represent only a small portion of the total corporate credit spread, but is mainly attributed to taxes, jumps, liquidity, and market risk factors.
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Integrated structural approach to Credit Value Adjustment
TL;DR: An integrated pricing framework for Credit Value Adjustment of equity and commodity products that allows for calibration and pricing to be based on the same numerical schemes, and also allows the inclusion of risk mitigation clauses such as netting, collateral and initial margin provisions.
References
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Journal ArticleDOI
The Pricing of Options and Corporate Liabilities
Fischer Black,Myron S. Scholes +1 more
TL;DR: In this paper, a theoretical valuation formula for options is derived, based on the assumption that options are correctly priced in the market and it should not be possible to make sure profits by creating portfolios of long and short positions in options and their underlying stocks.
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On the pricing of corporate debt: the risk structure of interest rates
TL;DR: In this article, the American Finance Association Meeting, New York, December 1973, presented an abstract of a paper entitled "The Future of Finance: A Review of the State of the Art".
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Corporate Debt Value, Bond Covenants, and Optimal Capital Structure
TL;DR: In this article, the authors examined corporate debt values and capital structure in a unified analytical framework and derived closed-form results for the value of long-term risky debt and yield spreads, and for optimal capital structure.
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Valuing corporate securities: some effects of bond indenture provisions
Fischer Black,John C. Cox +1 more
TL;DR: In this paper, the effects of safety covenants, subordination arrangements, and restrictions on the financing of inter-bank transactions are analyzed for option pricing in the context of security indentures.
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A Simple Approach to Valuing Risky Fixed and Floating Rate Debt
TL;DR: In this article, the authors developed a simple approach to valuing risky corporate debt that incorporates both default and interest rate risk, and used this approach to derive simple closed-form valuation expressions for fixed and floating rate debt.