Piccolo, Giovanni (2013) Coupon Bonds and Liquidation Triggers: A Real Option Approach. [Tesi di dottorato]

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Item Type: Tesi di dottorato
Lingua: English
Title: Coupon Bonds and Liquidation Triggers: A Real Option Approach.
Creators:
CreatorsEmail
Piccolo, Giovannidott.giovannipiccolo@gmail.com
Date: 2013
Number of Pages: 126
Institution: Università degli Studi di Napoli Federico II
Department: Scienze Economiche e Statistiche
Scuola di dottorato: Scienze economiche e statistiche
Dottorato: Matematica per l'analisi economica e la finanza
Ciclo di dottorato: 23
Coordinatore del Corso di dottorato:
nomeemail
Cocozza, RosaUNSPECIFIED
Tutor:
nomeemail
Pagano, MarcoUNSPECIFIED
Date: 2013
Number of Pages: 126
Uncontrolled Keywords: Coupon, Liquidation, Option
Settori scientifico-disciplinari del MIUR: Area 13 - Scienze economiche e statistiche > SECS-P/09 - Finanza aziendale
Area 13 - Scienze economiche e statistiche > SECS-P/11 - Economia degli intermediari finanziari
Area 13 - Scienze economiche e statistiche > SECS-S/06 - Metodi matematici dell'economia e delle scienze attuariali e finanziarie
Date Deposited: 10 Apr 2013 07:07
Last Modified: 22 Jul 2014 12:51
URI: http://www.fedoa.unina.it/id/eprint/9530
DOI: 10.6092/UNINA/FEDOA/9530

Abstract

The time between the financial distress and the liquidation is referenced in prior work, but many structural models do not consider this gap. In this document, I implement a real option model in which liquidation starts only if a time variable exceed a pre-defined grace period. Simultaneously, I introduce coupon bonds and liquidation cost in order to have a more realistic model and I use parameters’ value equal to those found in literature (no calibration). Then, I compare cumulative default probabilities, recovery rate and yield spread computed through my approach with those empirically found, in order to understand the reliability of the model.

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