TY  - JOUR
AB  - Industry interest in equity‐based contingent claims models for evaluating credit risky securities has recently surged. These methods assume away valuation uncertainty that exists in practice. This article explores the impact of valuation uncertainty on these contingent claims models, by analyzing how varying levels of model uncertainty bias default probability estimates obtained from standard contingent claims models.
VL  - 4
IS  - 2
SN  - 1526-5943
DO  - 10.1108/eb022962
UR  - https://doi.org/10.1108/eb022962
AU  - SOBEHART JORGE R.
AU  - KEENAN SEAN C.
PY  - 2003
Y1  - 2003/01/01
TI  - The Impact of Valuation Uncertainty in the Pricing of Risky Debt
T2  - The Journal of Risk Finance
PB  - MCB UP Ltd
SP  - 56
EP  - 67
Y2  - 2024/04/25
ER  -