TY - JOUR T1 - Pricing Convertible Bonds with Default Risk JF - The Journal of Fixed Income SP - 20 LP - 29 DO - 10.3905/jfi.2001.319302 VL - 11 IS - 3 AU - Akihiko Takahashi AU - Takao Kobayashi AU - Naruhisa Nakagawa Y1 - 2001/12/31 UR - https://pm-research.com/content/11/3/20.abstract N2 - 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. ER -