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Document Details : Title: Credit Risk and Prepayment Option Author(s): ARTZNER, Philippe , DELBAEN, Freddy Journal: ASTIN Bulletin Volume: 22 Issue: 1 Date: May 1992 Pages: 81-96 DOI: 10.2143/AST.22.1.2005128 Abstract : The paper examines a type of insurance contract for which secondary markets do exist, default risk insurance is implicit m corporate bonds and other risky debts It applies risk neutral martingale measure pricing to evaluate the option for a borrower with default risk, to prepay a fixed rate loan. A simple "matchbox" example is presented with a spreadsheet treatment. |