Equity to Credit Model for CBs
Posted: September 7th, 2006, 4:45 pm
by hateeque
Hi Does anyone know about the Equity to Credit model for CBs? I'll appreciate if you could paste a reference.Thanks!
Equity to Credit Model for CBs
Posted: September 8th, 2006, 9:39 am
by Caterpillar
Try doing a search for ito33 - there are a few threads discussing their equity to credit model for CBs or look at their website
www.ito33.comAlso 'Calibration and Implementation of Convertible Bond Models' by Andersen and Buffum is an interesting paper on this topic.