Determination of a corporation’s cost of debt capital is an important exercise for both corporate
treasurers and bankers. Term structure models have been widely applied to determine …

Practical tools and advice for managing financial risk, updated for a post-crisis world Advanced
Financial Risk Management bridges the gap between the idealized assumptions used for …

Using a market segmentation argument, this paper uses the interest rate derivative's arbitrage-free
methodology to value both demand deposit liabilities and credit card loan balances in …

This paper presents a robust test of Merton’s structural model for credit risk that does not
depend on either estimated parameters for the firm’s value or estimated default probabilities. …

… For more on modeling default as a function of macro factors, see Donald R. van Deventer,
Kenji Imai and Mark Mesler, ADVANCED FINANCIAL RISK MANAGEMENT: AN …

This paper proposes and estimates a tractable, arbitrage-free valuation model for corporate
coupon bonds that includes a more realistic recovery rate process. Most existing studies use …

Using this options analogy, it is easy to show that a firm’s probability of default depends
primarily on two factors: 1) the size of the firm’s asset value relative to the face value of debt—if …

This article clarifies and contests the common market belief that synthetic CDO equity is
long correlation risk, ie as correlation increases equity spreads decline. In fact, the impact of …

… For more on modeling default as a function of macro factors, see Donald R. Van Deventer,
Kenji Imai and Mark Mesler, … van Deventer, Kamakura Default Probabilities Technical …

… Deventer, Donald R. van … Van Deventer …