Credit Risk and Underlying Asset Risk
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This paper develops the credit risk of simple risky bond (Merton 1974) as expected option return to the maturity and analytically presents that the credit risk is influenced by the underlying asset risks. The paper moreover shows that the direction and magnitude of the influence depends on what the underlying asset risks are. Simulation results indicate that the relations between the credit risk and the asset risks are different among asset risks.
Abstract
This paper develops the credit risk of simple risky bond (Merton 1974) as expected option return to the maturity and analytically presents that the credit risk is influenced by the underlying asset risks. The paper moreover shows that the direction and magnitude of the influence depends on what the underlying asset risks are. Simulation results indicate that the relations between the credit risk and the asset risks are different among asset risks.
참고문헌 (13)
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