Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/27802
Authors: 
Heidorn, Thomas
Year of Publication: 
2001
Series/Report no.: 
Arbeitsberichte der Hochschule für Bankwirtschaft 36
Abstract: 
The Paper shows the evaluation of credit risky products. Default probabilities for brisk adjusted cash flows or risk adjusted discounting are the backbones for the evaluation of bonds and credits. The second approach is using the market value of shares and their implied volatility to calculate the asset value of the firm and the indirect probability of default. The last part gives the arbitrage arguments for pricing credit default swaps.
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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