Title: Contingent Claim Analysis on Bond Default Risk
Abstract: Based on modern Finance Theory , contingent claim analysis on bond default risk helps to solve the problem of information delay resulted from the discrete disclosure of corporate financial report. As a result, this method offers possibility in monitoring the rapid changes in the debtor's default risk. In the light of BSM pricing model,information can be obtained of risk-neutral default probability, actual default probability and the default risk spread. Presently, this model has been applied in default analysis of different types of bonds, different indenture provisions and stochastic interest rates, also covering areas like endogenous default, default before maturity and sudden default. However, there is still a long way to go before this method is applied to China's bond market.
Publication Year: 2004
Publication Date: 2004-01-01
Language: en
Type: article
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