This paper proposes a variant application of the Merton distance-to-default model by employing implied volatility and … volatility outperform other models, carries a default prediction accuracy rate of 89%. Additional analysis using a discrete … as 51%. Overall, our results establish the informational relevance of implied cost of capital and implied volatility in …

This paper proposes a variant application of the Merton distance-to-default model by employing implied volatility and …%. Overall, our results establish the informational relevance of implied cost of capital and implied volatility in predicting …

financial markets, and volatility of exchange rates in the international context. This book can be used as a reference for …