Corporate bond valuation using Parasian options with endogenous recovery rates
Recovery rates are mostly treated as exogenous and constant in structural models. However, this assumption creates a number of valuation problems: default probability is disassociated from the recovery rate; recovery rate is uniform for all classes of bond; there is often a problem of discontinuity...
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University of Manchester
2005
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.621445 |