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dc.contributor.authorMjøs, Aksel
dc.contributor.authorPersson, Svein-Arne
dc.date.accessioned2015-08-27T09:57:11Z
dc.date.accessioned2015-08-28T11:19:45Z
dc.date.available2015-08-27T09:57:11Z
dc.date.available2015-08-28T11:19:45Z
dc.date.issued2010
dc.identifier.citationEuropean Journal of Operational Research 2010, 207(1):391-400nb_NO
dc.identifier.issn0377-2217
dc.identifier.urihttp://hdl.handle.net/11250/298209
dc.description-This is the author's version of the article: "Callable risky perpetual debt with protection period" European Journal of Operational Research, Volume 207, Issue 1, 16 November 2010, Pages 391–400nb_NO
dc.description.abstractIssuances in the USD 260 Bn global market of perpetual risky debt are often motivated by capital requirements for financial institutions. We analyze callable risky perpetual debt emphasizing an initial protection (‘grace’) period before the debt may be called. The total market value of debt including the call option is expressed as a portfolio of perpetual debt and barrier options with a time dependent barrier. We also analyze how an issuer’s optimal bankruptcy decision is affected by the existence of the call option by using closed-form approximations. The model quantifies the increased coupon and the decreased initial bankruptcy level caused by the embedded option. Examples indicate that our closed form model produces reasonably precise coupon rates compared to numerical solutions. The credit-spread produced by our model is in a realistic order of magnitude compared to market data.nb_NO
dc.language.isoengnb_NO
dc.publisherElsevier B.Vnb_NO
dc.subjectcallable perpetual debtnb_NO
dc.subjectembedded optionsnb_NO
dc.subjectbarrier optionsnb_NO
dc.subjectoptimal bankruptcynb_NO
dc.titleCallable risky perpetual debt with protection periodnb_NO
dc.typeJournal articlenb_NO
dc.typePeer reviewed
dc.date.updated2015-08-27T09:57:11Z
dc.source.pagenumber391-400nb_NO
dc.source.volume207nb_NO
dc.source.journalEuropean Journal of Operational Researchnb_NO
dc.source.issue1nb_NO
dc.identifier.doi10.1016/j.ejor.2010.04.017
dc.identifier.cristin827624


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