We analyse the effect of panda bonds on indebted firms default probability. The theoretical default probability as a function of debt is evaluated in the Black, Scholes (1973) and Merton (1974) framework for various set of parameters values. We consider as benchmark the prevailing default rates for speculative-grade corporate companies based on the last reports by S&P (2019) and Moody’s (2018).
Panda bonds: Opportunity or threat for europe?
Stucchi P.
2020-01-01
Abstract
We analyse the effect of panda bonds on indebted firms default probability. The theoretical default probability as a function of debt is evaluated in the Black, Scholes (1973) and Merton (1974) framework for various set of parameters values. We consider as benchmark the prevailing default rates for speculative-grade corporate companies based on the last reports by S&P (2019) and Moody’s (2018).File in questo prodotto:
Non ci sono file associati a questo prodotto.
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
