November 1998
Intermediate to advanced
220 pages
6h 36m
English
Content preview from Fixed Income and Interest Rate Derivative Analysis
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Chapter 10
Credit risk
So far all analysis has presumed an effective enforcement mechanism for the
payment of promised cash flows. In the real world the promise of a payment
and actual payment are two different things. In the real world firms can
default on their obligations. How can we value securities which may default?
Default has two forms. First the traded securities may be the bonds for
example of a firm which may default. The price of the bonds must then incor-
porate an assessment of the likelihood of default. The other situation arises
even when the underlying security is default ...
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