Article thumbnail

A comprehensive structural model for defaultable fixed-income bonds

By Rossella Agliardi


An exact valuation formula for defaultable corporate coupon bonds is proved. The model incorporates discrete coupons, bankruptcy costs, taxes and the market risk generated by a stochastic risk-free structure. The aim of this paper is twofold: first, we generalise previous pricing models for corporate bonds; second, we provide a comprehensive formula in order to properly disentangle the contribution of several risk factors to credit spreads.Asset pricing, Coupon bonds, Credit risk, Debt valuation, Default risk, Structural models,

DOI identifier: 10.1080/14697680903222451
OAI identifier:
Download PDF:
Sorry, we are unable to provide the full text but you may find it at the following location(s):
  • (external link)

  • To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.

    Suggested articles