-dependent target leverage ratio, the TDSL model can be readily applied to generate the default probabilities of individual firms and to … assess the default risk of the firms …

This article provides a generalized two-firm model of default correlation, based on the structural approach that … incorporates interest rate risk. In most structural models default is driven by the firms' asset dynamics. In this article, a two …-firm model of default is instead driven by the dynamic leverage ratios, which combines the measure of risks of the firms' total …

Europe CDS indexes. The option-implied correlation is suggested as a measure of the spillover effect of default risk between … prices. The sovereign default risk, funding liquidity risk, level of risk aversion, and equity market performance are …

'exogenous default boundary' approach including those proposed by Longstaff and Schwartz (1995) and Collin-Dufresne and Goldstein … (2001), and 'endogenous default boundary' approach in Leland and Toft (1996) based on 2,050 non-financial companies in 46 … default boundary' and 'endogenous default boundary' approaches is found …

This paper examines the term structures of default probabilities that are generated by the Collin-Dufresne and … default probabilities which are consistent with some empirical observed default rates. It demonstrates that the leverage ratio … is a determinant factor of default risk of firms. The Collin-Dufresne and Goldstein model which considers a leverage …

This paper assesses whether agency ratings and market-based default risk measures are consistent for East Asian banks … Asian financial crisis. The relatively higher default risk implied by ratings during the post-crisis period is partly due to …