.png){kind=icon}
返回
A general formula for valuing defaultable securities
.png){kind=icon}
PRE
AI
DOI：10.1111/j.1468-0262.2004.00538.x.png)
.png){kind=icon}
原文求助.png){kind=icon}
分享.png){kind=icon}
收藏
摘要
En 中文
Previous research has shown that under a suitable no-jump condition, the price of a defaultable security is equal to its risk-neutral expected discounted cash flows if a modified discount rate is introduced to account for the possibility of default. Below, we generalize this result by demonstrating that one can always value defaultable claims using expected risk-adjusted discounting provided that the expectation is taken under a slightly modified probability measure. This new probability measure puts zero probability on paths where default occurs prior to the maturity, and is thus only absolutely continuous with respect to the risk-neutral probability measure. After establishing the general result and discussing its relation with the existing literature, we investigate several examples for which the no-jump condition fails. Each example illustrates the power of our general formula by providing simple analytic solutions for the prices of defaultable securities.
Keyword:
defaultable securities
risk-adjusted discounting
absolutely continuous change of measures
counterparty risk
flight to quality
AI总结
对已上传原文的论文进行重点信息的提取，主要内容包括：简要概述、研究摘要、背景介绍、关键亮点、图文解析、展望与总结。
期刊
IF:
7.1
论文数:
3.0K
被引数:
4.3W
机构
暂无机构信息
引用论文
.png){kind=icon}
分享收藏
查看更多内容