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The pricing of perpetual convertible bond with credit risk

โœ Scribed by Le-le Wang; Bao-jun Bian


Book ID
107500982
Publisher
SP Editorial Committee of Applied Mathematics - A Journal of Chinese Universities
Year
2010
Tongue
English
Weight
221 KB
Volume
25
Category
Article
ISSN
1005-1031

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## Abstract This article examines the relationship between the volatility of the credit risk premium of a plain vanilla bond and its credit rating. We calculate volatilities over different time windows and test for differences in the mean volatility depending on the bond rating. We check for the in