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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.

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Showing 1 to 2 of 2 (0.069 seconds)

Spelling suggestions: "subject:"risks corporate det"" "subject:"risks corporate dept""

1

Valuing credit risky bonds: generalizations of first passage models

Loulit, Ahmed 13 September 2006 (has links)
This work develops some simple models to study risky corporate debt using first passage-time approach. Analytical valuation expression derived from different models as functions of firm’s values and the short-term interest rate with time-dependent parameters governing the dynamics of the firm values and interest rate. We develop some numerical approximation of the analytical valuation, which is given implicitly through Voltera integral equation related to the density of the first-passage- time that a firm reaches some specified default barrier. For some appropriate default barrier arising from financial considerations we obtain a closed-form solution, which is more flexible for numerical calculation.
risky corporate debt
default barrier
First-passage- time
2

Valuing credit risky bonds: generalizations of first passage models

Loulit, Ahmed 13 September 2006 (has links)
This work develops some simple models to study risky corporate debt using first passage-time approach. Analytical valuation expression derived from different models as functions of firm’s values and the short-term interest rate with time-dependent parameters governing the dynamics of the firm values and interest rate. We develop some numerical approximation of the analytical valuation, which is given implicitly through Voltera integral equation related to the density of the first-passage- time that a firm reaches some specified default barrier. For some appropriate default barrier arising from financial considerations we obtain a closed-form solution, which is more flexible for numerical calculation. / Doctorat en sciences de gestion / info:eu-repo/semantics/nonPublished
Sciences sociales
Economie
Bonds
Interest rate risk
Corporate debt
Business mathematics
Obligations (Valeurs)
Taux d'intérêt -- Gestion du risque
Sociétés -- Dettes
Mathématiques financières
risky corporate debt
default barrier
First-passage- time

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