The structural model of Merton (1974) gives rise to multiple applications and extensions in corporate credit-risk analysis. The estimation of this fram...

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...