Piccolo, Giovanni (2013) Coupon Bonds and Liquidation Triggers: A Real Option Approach. [Tesi di dottorato]
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| Item Type: | Tesi di dottorato |
|---|---|
| Resource language: | English |
| Title: | Coupon Bonds and Liquidation Triggers: A Real Option Approach. |
| Creators: | Creators Email Piccolo, Giovanni dott.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: | nome email Cocozza, Rosa UNSPECIFIED |
| Tutor: | nome email Pagano, Marco UNSPECIFIED |
| Date: | 2013 |
| Number of Pages: | 126 |
| 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 |
Collection description
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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