Forecasting default with the Merton distance to default model
Year of publication: |
2008
|
---|---|
Authors: | Bharath, Sreedhar T. ; Shumway, Tyler |
Published in: |
The review of financial studies. - Cary, NC : Oxford Univ. Press, ISSN 0893-9454, ZDB-ID 1043666-2. - Vol. 21.2008, 3, p. 1339-1369
|
Subject: | Insolvenz | Insolvency | Prognoseverfahren | Forecasting model | Unternehmensanleihe | Corporate bond | Derivat | Derivative | Theorie | Theory | USA | United States | 1980-2003 |
-
Current and prospective estimate of counterparty risk through dynamic neural networks
Agnese, Alessio, (2022)
-
Can structural models price default risk? : evidence from bond and credit derivative markets
Ericsson, Jan, (2015)
-
A multivariate default model with spread and event risk
Mai, Jan-Frederik, (2014)
- More ...
-
Forecasting Default with the Kmv-Merton Model
Bharath, Sreedhar T., (2005)
-
Forecasting Default with the Merton Distance to Default Model
Bharath, Sreedhar T., (2010)
-
Forecasting Default with the Merton Distance to Default Model
Bharath, Sreedhar T., (2013)
- More ...