One of the major frontiers in modern finance is the quantification of credit risk and the major resolution of the lessor companies is to identify lessees such that there arises no events of default. The insight to view the equity of a company as a call option provides a coherent framework for...

In this paper we ‘update’ the option implied probability of default (option iPoD) approach recently suggested in the literature. First, a numerically more stable objective function for the estimation of the risk neutral density is derived whose integrals can be solved analytically. Second,...

The Relevance and Utility of Distress Risk and Corporate Failure Forecasts -- Searching for the Holy Grail: Alternative Statistical Modelling Approaches -- The Rise of the Machines -- An Empirical Application of Modern Machine Learning Methods -- Corporate Failure Models for Private Companies,...