Estimating structural bond pricing models

J Ericsson, J Reneby - The Journal of Business, 2005 - JSTOR
A difficulty that arises when implementing structural bond pricing models is the estimation of
the value and risk of the firm's assets, neither of which is directly observable. We perform a …

A framework for valuing corporate securities

J Ericsson, J Reneby - Applied Mathematical Finance, 1998 - Taylor & Francis
We suggest a methodology for valuing corporate securities that allows the straightforward
derivation of closed form solutions for complex scenarios. The tractability of the framework …

[PDF][PDF] Can structural models price default risk? Evidence from bond and credit derivative markets

J Ericsson, J Reneby, H Wang - 2005 - w4.stern.nyu.edu
Using a set of structural models, we evaluate the price of default protection for a sample of
US corporations. Credit default swaps (CDS) are commonly thought to be less influenced by …

Can structural models price default risk? Evidence from bond and credit derivative markets

J Ericsson, J Reneby, H Wang - Quarterly Journal of Finance, 2015 - World Scientific
Using a set of structural models, we evaluate the price of default protection for a sample of
US corporations. In contrast to previous evidence from corporate bond data, credit default …

Can structural models price default risk? New evidence from bond and credit derivative markets

J Ericsson, J Reneby, H Wang - New Evidence from Bond and …, 2005 - papers.ssrn.com
Using a set of structural models, we evaluate bond yield spreads and the price of default
protection for a sample of US corporations. Theory predicts that if credit risk alone explains …

The valuation of corporate liabilities: Theory and tests

J Ericsson, J Reneby - 2001 - econstor.eu
We develop a structural bond pricing approach and implement it on a large panel of US
industrial bonds using an efficient maximum likelihood methodology. We evaluate the model's …

A note on contingent claims pricing with non-traded assets

J Ericsson, J Reneby - 2002 - ideas.repec.org
One of the main objections to applying contingent claims analysis outside the area of
derivatives pricing, such as to the pricing of corporate (or sovereign) debt, has been that it is not …

An empirical study of structural credit risk models using stock and bond prices

J Ericsson, J Reneby - The Journal of Fixed Income, 2004 - search.proquest.com
Reduced-form credit risk models are often thought to be better suited than structural models
for pricing corporate bonds. The authors challenge this view. Conditioned not only on equity …

[BOOK][B] Pricing corporate debt

J Reneby - 1998 - ex.hhs.se
The application of contingent claims analysis to the pricing of corporate securities has a
history of about 25 years. The emphasis has been on corporate debt and, after a period of …

Stock options as barrier contingent claims

J Ericsson, J Reneby - Applied Mathematical Finance, 2003 - Taylor & Francis
A comprehensive model is suggested that values securities as options and consequently
ordinary stock options as compound options. Extending the basic Black–Scholes model, it can …