This paper proposes a valuation model of a bond with default risk. Extending from
the Merton’s structural model, this model incorporates the fixed cost of the firm’
s operation, where the fixed cost is considered a “perpetual debt” of the
underlying firm, senior to the financial debt obligations. Using the structural
model framework, we relative value the bond to the observed firm’s market
capitalization, and provide a model that is empirically testable, where the model
uses available data from financial statements.
학회소식
공지사항
[2003년 제 2차] Valuing High Yield Bonds
작성자 : 관리자
조회수 : 816
게시일 :
2003-07-12