Exploiting default probabilities in a structural model with nonconstant barrier
Author
Abstract
Suggested Citation
DOI: 10.1080/09603107.2011.621883
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Robert C. Merton, 2005.
"Theory of rational option pricing,"
World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 8, pages 229-288,
World Scientific Publishing Co. Pte. Ltd..
- Robert C. Merton, 1973. "Theory of Rational Option Pricing," Bell Journal of Economics, The RAND Corporation, vol. 4(1), pages 141-183, Spring.
- Sreedhar T. Bharath & Tyler Shumway, 2008. "Forecasting Default with the Merton Distance to Default Model," The Review of Financial Studies, Society for Financial Studies, vol. 21(3), pages 1339-1369, May.
- Reisz, Alexander S. & Perlich, Claudia, 2007. "A market-based framework for bankruptcy prediction," Journal of Financial Stability, Elsevier, vol. 3(2), pages 85-131, July.
- Thorsten Schmidt & Alexander Novikov, 2008. "A Structural Model with Unobserved Default Boundary," Applied Mathematical Finance, Taylor & Francis Journals, vol. 15(2), pages 183-203.
- Joao C. A. Teixeira, 2005. "An empirical analysis of structural models of corporate debt pricing," Finance 0505001, University Library of Munich, Germany.
- Leland, Hayne E & Toft, Klaus Bjerre, 1996.
"Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads,"
Journal of Finance, American Finance Association, vol. 51(3), pages 987-1019, July.
- Hayne E. Leland and Klaus Bjerre Toft., 1995. "Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads," Research Program in Finance Working Papers RPF-259, University of California at Berkeley.
- Naoto Kunitomo & Masayuki Ikeda, 1992. "Pricing Options With Curved Boundaries1," Mathematical Finance, Wiley Blackwell, vol. 2(4), pages 275-298, October.
- Merton, Robert C, 1974.
"On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,"
Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
- Merton, Robert C., 1973. "On the pricing of corporate debt: the risk structure of interest rates," Working papers 684-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Leland, Hayne E, 1994.
"Corporate Debt Value, Bond Covenants, and Optimal Capital Structure,"
Journal of Finance, American Finance Association, vol. 49(4), pages 1213-1252, September.
- Hayne E. Leland., 1994. "Corporate Debt Value, Bond Covenants, and Optimal Capital Structure," Research Program in Finance Working Papers RPF-233, University of California at Berkeley.
- Jones, E Philip & Mason, Scott P & Rosenfeld, Eric, 1984. "Contingent Claims Analysis of Corporate Capital Structures: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 39(3), pages 611-625, July.
- Hsuan-Chu Lin, 2007. "Valuing corporate securities: some effects of bond indenture provisions—a correction," Review of Quantitative Finance and Accounting, Springer, vol. 29(2), pages 173-180, August.
- Black, Fischer & Cox, John C, 1976. "Valuing Corporate Securities: Some Effects of Bond Indenture Provisions," Journal of Finance, American Finance Association, vol. 31(2), pages 351-367, May.
- Brockman, Paul & Turtle, H. J., 2003. "A barrier option framework for corporate security valuation," Journal of Financial Economics, Elsevier, vol. 67(3), pages 511-529, March.
- Hoi Ying Wong & Tsz Wang Choi, 2009. "Estimating default barriers from market information," Quantitative Finance, Taylor & Francis Journals, vol. 9(2), pages 187-196.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Bougias, Alexandros & Episcopos, Athanasios & Leledakis, George N., 2022.
"The role of asset payouts in the estimation of default barriers,"
International Review of Financial Analysis, Elsevier, vol. 81(C).
- Bougias, Alexandros & Episcopos, Athanasios & Leledakis, George N., 2022. "The role of asset payouts in the estimation of default barriers," MPRA Paper 112317, University Library of Munich, Germany.
- Han-Hsing Lee & Kuanyu Shih & Kehluh Wang, 2016. "Measuring sovereign credit risk using a structural model approach," Review of Quantitative Finance and Accounting, Springer, vol. 47(4), pages 1097-1128, November.
- Dionne, Georges & Laajimi, Sadok, 2012.
"On the determinants of the implied default barrier,"
Journal of Empirical Finance, Elsevier, vol. 19(3), pages 395-408.
- Georges Dionne & Sadok Laajimi, 2009. "On the Determinants of the Implied Default Barrier," Cahiers de recherche 0914, CIRPEE.
- Dionne, Georges & Laajimi, Sadok, 2011. "On the determinants of the implied default barrier," Working Papers 09-2, HEC Montreal, Canada Research Chair in Risk Management.
- Forte, Santiago & Lovreta, Lidija, 2012. "Endogenizing exogenous default barrier models: The MM algorithm," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1639-1652.
- Nakashima, Kiyotaka & Saito, Makoto, 2009.
"Credit spreads on corporate bonds and the macroeconomy in Japan,"
Journal of the Japanese and International Economies, Elsevier, vol. 23(3), pages 309-331, September.
- Kiyotaka Nakashima & Makoto Saito, 2009. "Credit Spreads on Corporate Bonds and the Macroeconomy in Japan," Global COE Hi-Stat Discussion Paper Series gd09-068, Institute of Economic Research, Hitotsubashi University.
- Nakashima, Kiyotaka & Saito, Makoto, 2009. "Credit Spreads on Corporate Bonds and the Macroeconomy in Japan," MPRA Paper 89089, University Library of Munich, Germany.
- Afik, Zvika & Arad, Ohad & Galil, Koresh, 2016. "Using Merton model for default prediction: An empirical assessment of selected alternatives," Journal of Empirical Finance, Elsevier, vol. 35(C), pages 43-67.
- Zhou, Xinghua & Reesor, R. Mark, 2015. "Misrepresentation and capital structure: Quantifying the impact on corporate debt value," Journal of Corporate Finance, Elsevier, vol. 34(C), pages 293-310.
- Zvika Afik & Ohad Arad & Koresh Galil, 2012.
"Using Merton model: an empirical assessment of alternatives,"
Working Papers
1202, Ben-Gurion University of the Negev, Department of Economics.
- Zvika Afik & Ohad Arad & Koresh Galil, 2015. "Using Merton model: an empirical assessment of alternatives," Working Papers 1503, Ben-Gurion University of the Negev, Department of Economics.
- Elkamhi, Redouane & Ericsson, Jan & Parsons, Christopher A., 2012. "The cost and timing of financial distress," Journal of Financial Economics, Elsevier, vol. 105(1), pages 62-81.
- Hoi Ying Wong & Tsz Wang Choi, 2009. "Estimating default barriers from market information," Quantitative Finance, Taylor & Francis Journals, vol. 9(2), pages 187-196.
- Amaya, Diego & Boudreault, Mathieu & McLeish, Don L., 2019. "Maximum likelihood estimation of first-passage structural credit risk models correcting for the survivorship bias," Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 297-313.
- Gady Jacoby & Chuan Liao & Jonathan A. Batten, 2007. "A Pure Test for the Elasticity of Yield Spreads," The Institute for International Integration Studies Discussion Paper Series iiisdp195, IIIS.
- Zhijian (James) Huang & Yuchen Luo, 2016. "Revisiting Structural Modeling of Credit Risk—Evidence from the Credit Default Swap (CDS) Market," JRFM, MDPI, vol. 9(2), pages 1-20, May.
- Correia, Ricardo & Población, Javier, 2015. "A structural model with Explicit Distress," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 112-130.
- Michael B. Imerman, 0. "When enough is not enough: bank capital and the Too-Big-To-Fail subsidy," Review of Quantitative Finance and Accounting, Springer, vol. 0, pages 1-36.
- Feng, Runhuan & Volkmer, Hans W., 2012. "Modeling credit value adjustment with downgrade-triggered termination clause using a ruin theoretic approach," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 409-421.
- Giesecke, Kay & Longstaff, Francis A. & Schaefer, Stephen & Strebulaev, Ilya, 2011. "Corporate bond default risk: A 150-year perspective," Journal of Financial Economics, Elsevier, vol. 102(2), pages 233-250.
- Yalin Gündüz & Marliese Uhrig-Homburg, 2014.
"Does modeling framework matter? A comparative study of structural and reduced-form models,"
Review of Derivatives Research, Springer, vol. 17(1), pages 39-78, April.
- Gündüz, Yalin & Uhrig-Homburg, Marliese, 2011. "Does modeling framework matter? A comparative study of structural and reduced-form models," Discussion Paper Series 2: Banking and Financial Studies 2011,05, Deutsche Bundesbank.
- Goldstein, Michael A. & Namin, Elmira Shekari, 2023. "Corporate bond liquidity and yield spreads: A review," Research in International Business and Finance, Elsevier, vol. 65(C).
- Alina Sima (Grigore) & Alin Sima, 2011. "Distance to Default Estimates for Romanian Listed Companies," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 3(2), pages 091-106, December.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:22:y:2012:i:8:p:667-679. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAFE20 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.