Malek Ben-Abdellatif, Hatem Ben-Ameur, Rim Chérif, and Tarek Fakhfakh
The structural model of Merton (1974) gives rise to multiple applications
and extensions in corporate credit-risk analysis. The estimation of this
fram...
Hatem Ben-Ameur, Tarek Fakhfakh, and Alexandre Roch
We use stochastic dynamic programming to design and solve an extended structural setting for which the illiquidity of the firm's assets under liquidation is ...
An exchangeable bond is a debt that is convertible into shares of a firm's equity other than the bond's issuer. We evaluate an exchangeable bond within a two...