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A Valuation of Bond Guarantees by the Risky Guarantor Using Contingent Claims Analysis Regression Approach
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- Authors
- Issue Date
- 2000-12
- Citation
- Seoul Journal of Business, Vol.6 No.1, pp. 53-70
- Keywords
- 김대호 ; bank guarantee ; goverment guarantee
- Abstract
- This paper examines a model to estimate the value of bond
guarantees by employing the risk neutral valuation approach. We
examine the valuation of bond guarantees both by a risky guarantor
and by a riskless guarantor. We discuss the valuation of bond
guarantees by a bank as an example of guarantees by a risky
guarantor. As an example of bond guarantees by a riskless guarantor,
we present the valuation of bond guarantees by government. Numerical
examples are shown to gain insight into the relative effects of changes
in the various parameters on the values of bond guarantees.
- ISSN
- 1226-9816
- Language
- English
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