Format:
1 Online-Ressource (22 p)
Content:
Pricing formulae for defaultable corporate bonds with discrete coupons (under consideration of the government taxes) in the united model of structural and reduced form models are provided. The aim of this paper is to generalize the structural model for defaultable corporate discrete coupon bonds (considered in [1]) into the unified model of structural and reduced form models. In our model the bond holders receive the stochastic coupon (discounted value of that at the maturity) at predetermined coupon dates and the face value (debt) and the coupon at the maturity as well as the effect of government taxes which are paid on the proceeds of an investment in bonds is considered. The expected default event occurs when the equity value is not enough to pay coupon or debt at the coupon dates or maturity and unexpected default event can occur at the first jump time of a Poisson process with the given default intensity provided by a step function of time variable. We consider the model and pricing formula for equity value and using it calculate expected default barrier. Then we provide pricing model and formula for defaultable corporate bonds with discrete coupons and consider its duration
Note:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 21, 2013 erstellt
Language:
English
DOI:
10.2139/ssrn.2337846
