This study examines the role of repeat interactions between placement agents (investment
banks) and investors in the initial pricing of convertible bonds. Under the assumption that …

Featuring contributions from leading international academics and practitioners, Credit Risk:
Models, Derivatives, and Management illustrates how a risk management system can be …

We develop a model for pricing securities whose value may depend simultaneously on
equity, interest-rate, and default risks. The framework may also be used to extract …

This paper develops the procedure of multivariate subordination for a collection of
independent Markov processes with killing. Starting from d independent Markov processes …

We develop a model for pricing derivative and hybrid securities whose value may depend
on different sources of risk, namely, equity, interest-rate, and default risks. In addition to …

The price of defaultable or credit-risky bonds differs from the equivalent maturity price of a
risk-free bond for a well identified number of factors: the positive probability of default prior to …

Modeling credit default swap (CDS) spreads usually requires more than calibrating a single
model. Focusing on the structural model category, CreditGrades as in Finger (2002) and the …

In this paper, we extend the debate concerning Credit Default Swap valuation to include
time varying correlation and co-variances. Traditional multi-variate techniques treat the …

In this paper, we present a model of liability-driven investments for life insurers by assuming
that equity portfolios can be wiped out by catastrophic default risk of the firms whose stock …

This paper first dichotomizes risk drivers into “stock” or “flow” attributes. Stock risk drivers are
prices of tradable securities and flow risk drivers are rates represented by the stochastic …