Determinants of the Dollar Value of Default Risk: A Put Option Perspective

This study uses the option valuation framework to identify and investigate the factors affecting the cross-sectional difference in individual corporate bonds' default risk. The dollar value of default risk (DVDR) is measured by subtracting the observed trading price of a risky corporate bond fr...

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Veröffentlicht in:	Review of quantitative finance and accounting 2001-03, Vol.16 (2), p.131-148
Hauptverfasser:	Chu, Quentin C, Yun-Yung, Lin
Format:	Artikel
Sprache:	eng
Schlagworte:	Accounting Assets Bond ratings Capital market Corporate bonds Default Dollar Equity Finance Financial accounting Government bonds Interest rates Investment Investment policy Present value Put & call options Risk Risk premiums Stockholders Studies Valuation Zero coupon bonds
Online-Zugang:	Volltext
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