Structural Models of Credit Risk are Useful:Evidence from Hedge Ratio on Corporate Bonds
碩士 === 銘傳大學 === 財務金融學系碩士班 === 97 === It is well known that structural models of credit risk provide poor predictions of bond prices. We show that, despite this, they provide quite accurate predictions of the sensitivity of corporate bond returns to changes in the return of equity (hedge ratio). The...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/6n8n6j |