Dalla Valle, Luciana; De Giuli, Maria Elena; Manelli, … - Dipartimento di Scienze Economiche e Aziendali, … - 2013
In this paper we present a novel Bayesian approach for default probability estimation. The methodology is based on multivariate contingent claim analysis and pair copula theory. Balance sheet data are used to asses the firm value and to compute its default probability. The firm pricing function...