Reduced-Form Valuation of Callable Corporate Bonds: Theory and Evidence

2008 ◽  
Author(s):  
Robert A. Jarrow ◽  
Haitao Li ◽  
Sheen Liu ◽  
Chunchi Wu
Keyword(s):  
Corporate Bonds ◽  
Reduced Form

Reduced-form valuation of callable corporate bonds: Theory and evidence

2010 ◽  
Vol 95 (2) ◽  
pp. 227-248 ◽  
Author(s):  
Robert Jarrow ◽  
Haitao Li ◽  
Sheen Liu ◽  
Chunchi Wu
Keyword(s):  
Corporate Bonds ◽  
Reduced Form

scholarly journals Empirical Pricing of Chinese Defaultable Corporate Bonds Based on the Incomplete Information Model

2014 ◽  
Vol 2014 ◽  
pp. 1-5 ◽  
Author(s):  
Li Ping ◽  
Wang Xiaoxu
Keyword(s):  
Incomplete Information ◽  
Default Risk ◽  
Corporate Bonds ◽  
Information Model ◽  
Corporate Bond ◽  
Reduced Form ◽  
First Year ◽  
The Real ◽  
Form Model

The default of Suntech Power made the year 2013 in China “the first year of default” of bond markets. People are also clearly aware of the default risk of corporate bonds and find that fair pricing for defaultable corporate bonds is very important. In this paper we first give the pricing model based on incomplete information, then empirically price the Chinese corporate bond “11 super JGBS” from Merton’s model, reduced-form model, and incomplete information model, respectively, and then compare the obtained prices with the real prices. Results show that all the three models can reflect the trend of bond prices, but the incomplete information model fits the real prices best. In addition, the default probability obtained from the incomplete information model can discriminate the credit quality of listed companies.

Reduced-Form Valuation of Callable Corporate Bonds: Theory and Evidence

2004 ◽  
Author(s):  
Robert A. Jarrow ◽  
Haitao Li ◽  
Sheen Liu ◽  
Chunchi Wu
Keyword(s):  
Corporate Bonds ◽  
Reduced Form

A Structural Model with Counterparty Risks

2010 ◽  
Vol 18 (3) ◽  
pp. 25-40
Author(s):  
Hwa-Sung Kim
Keyword(s):  
Firm Value ◽  
Structural Model ◽  
Credit Rating ◽  
Corporate Bonds ◽  
Credit Spreads ◽  
Theoretical Research ◽  
Reduced Form ◽  
Counterparty Risk ◽  
Recent Financial Crisis ◽  
The Impact

The recent financial crisis has triggered more studies on counterparty risks. The theoretical research on credit risk with counterparty risks has been built based upon the reduced-form model. In contrast, this paper suggests a structural model where firm value can be reduced due to counterparty risks. After deriving a price formula for corporate bonds, we analyze the credit spreads of the corporate bonds. The effects of the counterparty risk on credit spreads are as follows: First, regardless of the level of the counterparty's credit rating, the credit spreads of a firm increase because of counterparty risks. Second, the lower the counterparty's credit rating, the stronger the impact of either the correlation between the two firms on credit spreads, or the coefficient of reduction in firm value due to counterparty risks on credit spreads. Third, compared with existing structural models, there are some cases in which the structural model with counterparty risks is more consistent with actual credit spreads. These cases depend upon the counterparty's credit rating.

Reduced-Form Valuation of Callable Corporate Bonds: Theory and Evidence

2006 ◽  
Author(s):  
Robert A. Jarrow ◽  
Haitao Li ◽  
Sheen Liu ◽  
Chunchi Wu
Keyword(s):  
Corporate Bonds ◽  
Reduced Form
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