Credit spreads, endogenous bankruptcy and liquidity risk

DOI10.1007/s10287-012-0153-3zbMath1280.91181OpenAlexW2019453980MaRDI QIDQ395696

Jianping Fu, Xingchun Wang, Yong Jin Wang

Publication date: 30 January 2014

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-012-0153-3

zbMATH Keywords

credit riskcredit spreadsliquidity riskendogenous bankruptcy

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Corporate finance (dividends, real options, etc.) (91G50) Credit risk (91G40)

Related Items

Pricing vulnerable options with jump risk and liquidity risk

Cites Work

• Default and information
• Fuzzy defaultable bonds
• Optimal capital structure and endogenous default
• A comprehensive structural model for defaultable fixed-income bonds
• Term Structures of Credit Spreads with Incomplete Accounting Information
• Valuing American Options by Simulation: A Simple Least-Squares Approach