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• W2243448113 abstract "This paper develops a corporate bond pricing model following the structural approach in which the dynamics of the instantaneous risk-free interest rate are governed by a double square-root (DSR) process. Credit spreads generated from this pricing model depend explicitly upon the levels of interest rates via a nonlinear effect arising from a DSR process. Given a positive correlation between interest rates and leverage ratios, the credit spreads generated by this pricing model have a negative relationship with interest rates, that is consistent with empirical findings using bond market data over the period 2008-2013 when interest rates were low." @default.
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• W2243448113 date "2012-01-01" @default.
• W2243448113 modified "2023-09-27" @default.
• W2243448113 title "Pricing Corporate Bonds with Interest Rates Under Double Square-Root Process" @default.
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• W2243448113 doi "https://doi.org/10.2139/ssrn.2185861" @default.
• W2243448113 hasPublicationYear "2012" @default.
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