Structural models have been developed and used in financial literature to assess the probability of default of corporations. This article aims at reversing this approach, using this probability as an input and investigating if the default barrier can be considered flat, as done in similar analysis, or should more appropriately be time-varying.

Agosto, A., Moretto, E. (2012). Exploiting default probabilities in a structural model with nonconstant barrier. APPLIED FINANCIAL ECONOMICS, 22(8), 667-679 [10.1080/09603107.2011.621883].

Exploiting default probabilities in a structural model with nonconstant barrier

Moretto Enrico
2012

Abstract

Structural models have been developed and used in financial literature to assess the probability of default of corporations. This article aims at reversing this approach, using this probability as an input and investigating if the default barrier can be considered flat, as done in similar analysis, or should more appropriately be time-varying.
Articolo in rivista - Articolo scientifico
default implied probability; default structural models; KMV model; nonconstant barrier options;
English
667
679
13
Agosto, A., Moretto, E. (2012). Exploiting default probabilities in a structural model with nonconstant barrier. APPLIED FINANCIAL ECONOMICS, 22(8), 667-679 [10.1080/09603107.2011.621883].
Agosto, A; Moretto, E
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/372699
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