Bakshi, Gurdip; Madan, Dilip; Zhang, Frank Xiaoling - In: The Journal of Business 79 (2006) 4, pp. 1955-1988
This paper proposes and empirically investigates a family of credit risk models driven by a two-factor structure for the short interest rate and an additional factor for firm-specific distress. The firm-specific distress factors include leverage, book-to-market, profitability, equity-volatility,...