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Endogenous default and pricing of the corporate debt

In: Non-Gaussian Merton-Black-Scholes Theory

Author

Listed:
  • Svetlana I. Boyarchenko

    (University of Texas at Austin, USA)

  • Sergei Z. Levendorskiĭ

    (Rostov State University of Economics, Russia)

Abstract

The following sections are included:An overviewEndogenous defaultEquity of a firm near bankruptcy level and the yield spread for junk bondsThe case of a solvent firmEndogenous debt level and endogenous leverageConclusionAuxiliary resultsProof of Eq. (11.36)–Eq. (11.38)Proof of Eq. (11.45)–Eq. (11.46)

Suggested Citation

  • Svetlana I. Boyarchenko & Sergei Z. Levendorskiĭ, 2002. "Endogenous default and pricing of the corporate debt," World Scientific Book Chapters, in: Non-Gaussian Merton-Black-Scholes Theory, chapter 11, pages 231-253, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812777485_0011
    as

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