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  • ÀÌÁØÈñ ÇѸ²´ëÇб³ °æ¿µÇкÎ, À繫±ÝÀ¶
  • ±èÀ±Å ÇѸ²´ëÇб³ ¼ö¸®Á¤º¸°úÇкÎ, Åë°èÇÐ
This paper presents a pricing formulas of the defaultable bond under the reduced-form model. The market value of the firm ¡¯s asset, as the first state variable, is assumed to follow the jump-diffusion process which reflects the sudden changes of the firm value, and to exhibit a mean reverting. A new probability measure, ¡°default risk adjusted forward measure", is defined and used to price the FRN. This new measure has a strong advantage of calculating interest rate derivatives with the default risk. The model is also extended to price the defaultable bond with the counterparty default risk.
±¸Á¶ ¸ðÇü (Structural Model),Ãà¼Ò ¸ðÇü (Reduced Model)

Risky Debt Valuation

  • Joon-Hee Rhee
  • Yoon-Tae Kim
This paper presents a pricing formulas of the defaultable bond under the reduced-form model. The market value of the firm ¡¯s asset, as the first state variable, is assumed to follow the jump-diffusion process which reflects the sudden changes of the firm value, and to exhibit a mean reverting. A new probability measure, ¡°default risk adjusted forward measure", is defined and used to price the FRN. This new measure has a strong advantage of calculating interest rate derivatives with the default risk. The model is also extended to price the defaultable bond with the counterparty default risk.
Intensity,Forward Measure,FRN,Counterparty Default Risk,Structural Model,Reduced Model,Intensity,Forward Measure,FRN,Counterparty Default Risk