This paper proposes a method to price convertible bonds with credit risk using Duffie-Singleton approach to handle credit risk. As such it also provides a method to replicate convertibles by trading common stocks and corporate bonds of the issuing company. Empirical comparison with existing models which incorporate credit risk is provided using Japanese convertible bond data.
内容記述
Revised: 2001-CF-140
本文フィルはリンク先を参照のこと
雑誌名
Discussion paper series. CIRJE-J
巻
CJ-45
発行年
2001-02
書誌レコードID
AA11451834
フォーマット
application/pdf
日本十進分類法
330
出版者
日本経済国際共同センター
出版者別名
Center for International Research on the Japanese Economy
信用リスクを含んだ転換社債の評価 : Duffie-Singletonアプローチ
