So the superficially intuitive application of the usual berm pricer to a static credit curve results in off-market prices for corporate debt probably because of unrealistic embedded assumptions regarding the interaction between call decisions and credit, and there doesn’t seem to be a market standar...

Thanks Pat. I am really trying to get my arms around why those implied libor spreads are what they are for callables. For example my callable agency traders explained to me that using bloomberg oas functionality with the LGM pricer doesnt really work so they switch to a european exercise and then ov...

Thanks bearish thats really helpful. I started with the fixed credit spread model, which seemed to be overpricing the callables by 10-15 bp (these are better credits but some longer dated). I found some papers by Acharya and Carpenter and also Berndt which use structural and reduced credit models, b...

Any good models out there for pricing callable debt ? I tried using Hull-White with a yield curve based on credit spreads for noncallable issues, but my callable prices look too low. It has been suggested to me that the credit risk needs to be modeled more explicitly.

Any good models out there for pricing callable debt ? I tried using Hull-White with a yield curve based on credit spreads for noncallable issues, but my callable prices look too low. It has been suggested to me that the credit risk needs to be modeled more explicitly.