A Modified Structural Model for Credit Risk – Utility Indifference Valuation.
This paper modifies the classical structural models for credit risk by embedding them into the framework of optimal portfolio problems in an incomplete market. The price of corporate bonds is derived based on the indifference between the investor's two utility maximization problems. Besides the...
| Päätekijät: | , |
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| Aineistotyyppi: | Working paper |
| Kieli: | English |
| Julkaistu: |
Oxford-Man Institute of Quantitative Finance
2008
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