The quantitative analyses related to firms’ default prediction extensively analyzed which balance sheet ratios include significant information on the probability of default of a firm. These analyses are typically aimed at measuring a generic default risk, while no analyses are aimed at...

The recent financial crisis offered an interesting opportunity to analyze the markets'; behavior in a high-volatility framework. In this paper, we analyzed the price discovery process of the Italian banks’ Credit Default Swap (CDS) spreads through the Merton model, extended with the inclusion...