Arbeitspapier
Risky debt, bad bank and government
The purpose of this paper is to put forward a valuation framework for interest rate sensitive claims. We concentrate on secured loans. The value of the secured loan depends upon the coupon rate, the maturity, the term structure of interest rates and the value of the collateral as well as the probability of default. We follow Schwartz and Torous (1992) and assume that borrower's conditional probability of default is given by a hazards function. Furthermore, we value guarantees, junior secured debt and unemployment insurance.
- ISBN
-
951-686-382-5
- Sprache
-
Englisch
- Erschienen in
-
Series: Bank of Finland Discussion Papers ; No. 16/1993
- Klassifikation
-
Wirtschaft
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Murto, Risto
Eirola, Timo
- Ereignis
-
Veröffentlichung
- (wer)
-
Bank of Finland
- (wo)
-
Helsinki
- (wann)
-
1993
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Murto, Risto
- Eirola, Timo
- Bank of Finland
Entstanden
- 1993
Ähnliche Objekte (12)
Default risk on Finnish government foreign currency debt
Pricing risky bank loans in the new Basel II environment
Financial depth, debt, and growth
Subordinated debt, market discipline, and bank risk
Unconventional government debt purchases as a supplement to conventional monetary policy
The government's role in government-owned banks
Are adverse selection models of debt robust to changes in market structure?
Real time uncertainty in fiscal planning and debt accumulation in the euro area
Government size and output volatility: is there a relationship?
Payments remain fundamental for banks and central banks
Who funds zombie firms: Banks or non-banks?
Some unpleasant fiscal arithmetic: the role of monetary and fiscal policy in public debt dynamics since the 1970s
Default risk on Finnish government foreign currency debt
Pricing risky bank loans in the new Basel II environment
Financial depth, debt, and growth
Subordinated debt, market discipline, and bank risk
Unconventional government debt purchases as a supplement to conventional monetary policy
The government's role in government-owned banks
Are adverse selection models of debt robust to changes in market structure?
Real time uncertainty in fiscal planning and debt accumulation in the euro area
Government size and output volatility: is there a relationship?
Payments remain fundamental for banks and central banks
Who funds zombie firms: Banks or non-banks?
Some unpleasant fiscal arithmetic: the role of monetary and fiscal policy in public debt dynamics since the 1970s
Default risk on Finnish government foreign currency debt
Pricing risky bank loans in the new Basel II environment
Financial depth, debt, and growth
Subordinated debt, market discipline, and bank risk
Unconventional government debt purchases as a supplement to conventional monetary policy
The government's role in government-owned banks
Are adverse selection models of debt robust to changes in market structure?
Real time uncertainty in fiscal planning and debt accumulation in the euro area
Government size and output volatility: is there a relationship?
Payments remain fundamental for banks and central banks
Who funds zombie firms: Banks or non-banks?