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Corporate Debt Valuation: The Structural Approach

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Numerical Methods in Finance

Abstract

This chapter surveys the contingent claims literature on the valuation of corporate debt. Model summaries are presented in a continuous-time arbitrage-free economy. After a review of the basic model, I extend the approach to models with an endogenous capital structure, discrete coupon payments, flow-based state variables, interest rate risk, strategic debt service, and more advanced default rules. Finally, I assess the empirical performance of structural models in light of the latest tests available.

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Authors
  1. Pascal François
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  1. GERAD and HEC Montréal, Montréal

    Michèle Breton  & Hatem Ben-Ameur  & 

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François, P. (2005). Corporate Debt Valuation: The Structural Approach. In: Breton, M., Ben-Ameur, H. (eds) Numerical Methods in Finance. Springer, Boston, MA. https://doi.org/10.1007/0-387-25118-9_1

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