Cooper, Ian (contributor); Davydenko, Sergei A. (contributor) - 2004 - [Elektronische Ressource]
equity volatility. For rating classes, the approach generates forward-
looking expected default loss estimates similar to … observed bond spreads
in conjunction with information on leverage, equity volatility, and equity risk premia to yield an … risky debt
and other capital market variables: market leverage, equity volatility and equity risk premia. Thus, the
estimate …