Research of Default-Risk Premiums for High-Yield Bonds
碩士 === 淡江大學 === 財務金融學系 === 88 === The dollar value of default risk (DVDR) is measured by subtracting the observed trading price of a risky corporate bond from a Cox-Ingersoll-Ross model value of a corresponding pseudo-default-free bond. From an option pricing perspective, DVDR can be view...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2000
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| Online Access: | http://ndltd.ncl.edu.tw/handle/17523913985452169298 |