Pricing nondiversifiable credit risk in the corporate Eurobond market

Journal of Banking and Finance

Volumn 31, Issue 8, 2007, Pages 2233-2263

  Abaffy, J ^a   Bertocchi, M ^b   Dupacova J ^c   Moriggia, V ^b   Consigli, G ^b  

^a Institute of Data Analytics and Information Systems   (Hungary)

^b UNIVERSITY OF BERGAMO   (Italy)

^c CHARLES UNIVERSITY   (Czech Republic)

Author keywords

Binomial and multinomial pricing; Correlation risk; Credit risky securities; Risk neutral and empirical default probability; Transition risk

Indexed keywords

EID: 34547099091     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2007.02.002     Document Type: Article

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