A Survey of Contingent‐Claims Approaches to Risky Debt Valuation

Abstract

This article surveys available research on the contingent‐claims approach to risky debt valuation. The author describes both the structural and reduced form versions of contingent claims models and summarizes both the theoretical and empirical research in this area. Relative to the progress made in the theory of risky debt valuation, empirical validation of these models lags far behind. This survey highlights the increasing gap between the theoretical valuation and the empirical understanding of risky debt.

Citation

BOHN, J.R. (2000), "A Survey of Contingent‐Claims Approaches to Risky Debt Valuation", Journal of Risk Finance, Vol. 1 No. 3, pp. 53-70. https://doi.org/10.1108/eb043448