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INDUSTRIES SERVED
Banking
Insurance
Asset Management
Corporate Treasury
SOLUTIONS
Kamakura Risk Manager (KRM)
Credit Risk
Net Income Simulation
Yield Curve Smoothing
Market Valuation
Value-At-Risk
Transfer Pricing
Kamakura Risk Information Services (KRIS)
Interest Rate and Yeild Curve Data
Default Probabilities
CLO and Bond Analytics
Credit Portfolio Analysis
Troubled Company Index
KRIS Country Coverage
RESEARCH
Research Library
BLOGS
Donald R. Van Deventer, Ph.d.
Martin M. Zorn
Sou-Cheng Choi Ph.d
COMPANY
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The Valuation of Corporate Coupon Bonds
07/13/2020 09:16 AM
This paper proposes and estimates a tractable, arbitrage-free valuation model for corporate coupon bonds that includes a more realistic recovery rate process.
OTHER AUTHORS
Donald R. Van Deventer, Ph.d.
Martin M. Zorn
Sou-Cheng Choi Ph.d
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