2
votes
Proper maturity in the Merton's model
The original Merton model takes a simplified view of the debt structure in assuming the total value of outstanding debt (or some portion thereof) $D$ matures at a specified time $T$. Shareholders are ...
- 3,730
1
vote
Pricing / valuing anticipated repayment date
Welcome
As I see it, the borrower has written to the lender an option to borrow more money at high interest after the "anticipated date", which can be viewed equally well as a call or as a ...
- 13.2k
1
vote
Accepted
First-to-Default Credit Swap: what is the payoff when a joint default occurs
I am not a lawyer.
I do have some old $n$th to default term sheets just lying around. Reading them, I interpret their language to work very similarly to the cheapest-to-delver language in single-name ...
- 13.2k
1
vote
Implied funding/repo rates from Credit Default Swaps
I recall that in 2002, when Lula won the Brazilian presidential election, and was later inaugurated, most of the market participants assumed that Brazil would default on its sovereign debt, as ...
- 13.2k
1
vote
Modelling Specialised Lending deals
This sounds to be more in the category of ABS in a less traditional sense. These are common currently. You may want to do further research on enhanced equipment trust certificates (EETCs) and although ...
- 991
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