Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/211688 
Year of Publication: 
1993
Series/Report no.: 
Bank of Finland Discussion Papers No. 16/1993
Publisher: 
Bank of Finland, Helsinki
Abstract: 
The purpose of this paper is to put forward a valuation framework for interest rate sensitive claims. We concentrate on secured loans. The value of the secured loan depends upon the coupon rate, the maturity, the term structure of interest rates and the value of the collateral as well as the probability of default. We follow Schwartz and Torous (1992) and assume that borrower's conditional probability of default is given by a hazards function. Furthermore, we value guarantees, junior secured debt and unemployment insurance.
Persistent Identifier of the first edition: 
ISBN: 
951-686-382-5
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.