Evaluating Corporate Bonds with Complicated Liability Structures and Bond Provisions

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Title:	Evaluating Corporate Bonds with Complicated Liability Structures and Bond Provisions
Authors:	Wang, Chuan-Ju;王釧茹;Dai, Tian-Shyr;Lyuu, Yuh-Dauh
Contributors:	臺北市立大學資訊科學系
Keywords:	Pricing;Credit risk;Structural model;Default
Date:	2014-09-01
Issue Date:	2019-02-14
Abstract:	This paper presents a general and numerically accurate lattice methodology to price risky corporate bonds. It can handle complex default boundaries, discrete payments, various asset sales assumptions, and early redemption provisions for which closed-form solutions are unavailable. Furthermore, it can price a portfolio of bonds that accounts for their complex interaction, whereas traditional approaches can only price each bond individually or a small portfolio of highly simplistic bonds. Because of the generality and accuracy of our method, it is used to investigate how credit spreads are influenced by the bond provisions and the change in a firm’s liability structure due to bond repayments.
Relation:	European Journal of Operational Research
Appears in Collections:	[Department of Computer Science] Periodical Articles

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