Credit Risk: Constructing the Basic Building Blocks

Hughston, L P and Turnbull, S M. 2001. Credit Risk: Constructing the Basic Building Blocks. Economic Notes, 30(2), 281 - 292. ISSN 0391-5026 [Article]

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Abstract or Description

This paper uses three basic results to address three problems. The first problem concerns the pricing of corporate bonds, when in the event of default the claim of the bond holders is on the principal of the bond plus accrued interest. The second concerns the pricing of revolver loans, and the third problem we address is the valuation of the collateral associated with a loan.

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July 2001Published

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04 Feb 2022 15:25

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09 Feb 2022 10:36

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Yes, this version has been peer-reviewed.


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