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Credit Risk and Underlying Asset Risk
초록
This paper develops the credit risk of simple risky bond (Merton 1974) as expected option return to the maturity and analytically presents that the credit risk is influenced by the underlying asset risks. The paper moreover shows that the direction and magnitude of the influence depends on what the underlying asset risks are. Simulation results indicate that the relations between the credit risk and the asset risks are different among asset risks.
키워드
Credit Risk; Expected Option Return; Pricing of an Option; Pricing of Risky Bond; Relation between Credit Risk as Expected Option Return and Asset Risk
- 제목
- Credit Risk and Underlying Asset Risk
- 저자
- 이종용
- 발행일
- 2018-12
- 유형
- Y
- 권
- 24
- 호
- 2
- 페이지
- 39 ~ 52