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The fair value of defaultable bonds and bank loans - A practitioners’ guide

Prometeia insights - White paper


The fair value of defaultable bonds and bank loans - A practitioners’ guide

This white paper deals with the pricing of defaultable assets, whether corporate bonds or bank loans, in terms of theoretical and practical issues alike.

The document is articulated into three sections: the first section aims to review the most common pricing models for defaultable assets, whether bonds or loans;  the second section elucidates the main approaches for market data calibration procedures; the last section purports to investigate the case of commercial bank loans, for which market data are usually not available.

 
 
 

The full paper is also available on Risk.net Library.