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Keywords: Distance to default
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Journal Articles
Partial hedging in credit markets with structured derivatives: a quantitative approach using put options
Open Access
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2024) 32 (4): 286–322.
Published: 21 October 2024
... Distance to default Connection of debt and equity In this paper, we explore a method for mitigating credit risk exposure through the strategic use of equity derivatives, drawing upon the foundational works by Merton (1974) and Black and Cox (1976) as our conceptual underpinning. We examine...
