Leasing and credit risk

Article Abstract:

A unified model for the computation of the equilibrium credit spread on leases exposed to default risk is presented. The promised lease payments in equilibrium must requite the lessor for the use of the asset as well as the possible results of default. The value of the underlying asset changes stochastically in the framework. The contracted lease rate in equilibrium makes the lessor indifferent between lessees of different credit quality. The lease credit spread should put any sale of the use of the asset over a timeframe under equilibrium valuation.

Credit management, Default (Finance)

---

Corrections and additions to 'A Nonlinear Equilibrium Model of the Term Structure of Interest Rates.' (response to Francis A. Longstaff, Journal of Financial Economics, vol. 23, p. 195, 1989) (Correction Notice)

Article Abstract:

An analysis of models describing interest rate behavior is presented. A 1989 model predicts a process for short interest ratesbased on zero-coupon bond pricing and state transition density. However, the model fails to account for its accompanying pricing problem. Thus, a new model is developed which generates a different interest rate scheme. It is shown thatthe new model defines the price of a zero-coupon bond based on the Green's function.

Interest rates, Correction Notice

---

Multiple equilibria and term structure models

Article Abstract:

An analysis of multiple equilibria and term structure models is presented. The analysis focuses on the Cox, Ingersoll and Ross term structure framework which generates various equilibrium solutions fordiscount bond prices. This characteristic flexibility allows the development ofmany other models which may yield term structure properties. It is shown that the studied model exhibits equilibria found in other similar structure models.

Bonds, Bonds (Securities)

Similar abstracts:

• Abstracts: Risk premia and term premia in general equilibrium. Endogenous term premia and anomalies in the term structure of interest rates: explaining the predictability smile
• Abstracts: Convergence revisited. Are apparent productive spillovers a figment of specification error? Macroeconomic implications of production bunching
• Abstracts: The indeterminacy of prices under interest rate pegging: the non-Ricardian case. Price smoothing policies: a welfare analysis

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.