PT  - JOURNAL ARTICLE
AU  - Akihiko Takahashi
AU  - Takao Kobayashi
AU  - Naruhisa Nakagawa
TI  - Pricing Convertible Bonds with Default Risk
AID  - 10.3905/jfi.2001.319302
DP  - 2001 Dec 31
TA  - The Journal of Fixed Income
PG  - 20--29
VI  - 11
IP  - 3
4099  - https://pm-research.com/content/11/3/20.short
4100  - https://pm-research.com/content/11/3/20.full
AB  - This article proposes a new method to value convertible bonds. It characterizes default risk exogenously, and provides a consistent and practical reduced-form approach for relative pricing of securities including convertible and non-convertible corporate bonds and equities. The authors demonstrate the method with numerical examples using Japanese convertible bond data, and compare the model to other practical models.