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"A Structural Approach without Path Dependency"(in Japanese)

Abstract

This paper proposes a structural model to price credit risk of firms with short-term and long -term debts. In Ikeda, Kobayashi, and Takahashi (2005), since it assumed that the short-term debt is refunded by issuing a new short-term debt only, the future face value of the short-term debt depends on the path of asset value, which makes analysis very complicated. In order to avoid the problem, we build a new model without path dependency by assuming the future face values of short term debts to be fixed. Furthermore, by the@ improvement of the model, we show that the model can apply to the pricing of credit derivatives, and present the example of the pricing of a convertible bond.

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