Browsing NHH Brage by Author "Johansen, Vetle Holt"

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On the extent and origins of the Merton model`s credit spread puzzle : a study of the credit risk pricing of Norwegian corporate bonds 2003-2014

Langdalen, Håkon; Johansen, Vetle Holt (Master thesis, 2016)

For decades, financial literature has attempted to understand the pricing of credit risk in corporate bonds, and the Merton (1974) model is one of the classic approaches to determine a theoretic size for this credit risk ...