IDEAS home Printed from https://ideas.repec.org/p/sbs/wpsefe/1999mf07.html
   My bibliography  Save this paper

The Pricing of Risky Bonds: Current Models and Future Directions

Author

Listed:
  • Hyungsok Ahn
  • Varqa Khadem
  • Paul Wilmott

Abstract

The modelling of credit risk, credit derivatives and non-hedgeable securities in general is currently in a poor state. Ideas from equity options theory have been adopted for credit risk, but have not been adapted for the peculiarities of this more complex world. This brief paper is a review and critique of current ideas and models, and includes suggestions for a more sophisticated realisitic and ultimately more sensible approach. The bibliography at the end should provide a useful source for the current state of the art.

Suggested Citation

  • Hyungsok Ahn & Varqa Khadem & Paul Wilmott, 1999. "The Pricing of Risky Bonds: Current Models and Future Directions," OFRC Working Papers Series 1999mf07, Oxford Financial Research Centre.
    • Handle: RePEc:sbs:wpsefe:1999mf07
    as

    Download full text from publisher

    File URL: http://www.finance.ox.ac.uk/file_links/finecon_papers/1999mf07.pdf
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sbs:wpsefe:1999mf07. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Maxine Collett (email available below). General contact details of provider: https://edirc.repec.org/data/frcoxuk.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.