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
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951-686-382-5
- Language
-
Englisch
- Bibliographic citation
-
Series: Bank of Finland Discussion Papers ; No. 16/1993
- Classification
-
Wirtschaft
- Event
-
Geistige Schöpfung
- (who)
-
Murto, Risto
Eirola, Timo
- Event
-
Veröffentlichung
- (who)
-
Bank of Finland
- (where)
-
Helsinki
- (when)
-
1993
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Murto, Risto
- Eirola, Timo
- Bank of Finland
Time of origin
- 1993
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