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Market microstructure effects on firm default risk evaluation

Barsotti, Flavia; Sanfelici, Simona - In: Econometrics : open access journal 4 (2016) 3, pp. 1-31

estimation plays a key role in its evaluation. Assuming a structural credit risk modeling approach, we study the impact of … effects of different non-parametric estimation techniques on default probability evaluation. The impact of the non …

Persistent link: https://www.econbiz.de/10011506497

Explaining credit ratings through a perpetual-debt structural model

Barone, Gaia - In: The journal of credit risk : published quarterly by … 17 (2021) 2, pp. 1-25

Persistent link: https://www.econbiz.de/10012671409

Subprime credit, idiosyncratic risk, and foreclosures

Simlai, Prodosh - In: The quarterly review of economics and finance : journal … 74 (2019), pp. 175-189

Persistent link: https://www.econbiz.de/10012297241

On a new corporate bond pricing model with potential credit rating change and stochastic interest rate

Yin, Hong-Ming; Liang, Jin; Wu, Yuan - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-12

In this paper, we consider a new corporate bond-pricing model with credit-rating migration risks and a stochastic interest rate. In the new model, the criterion for rating change is based on a predetermined ratio of the corporation’s total asset and debt. Moreover, the rating changes are...

Persistent link: https://www.econbiz.de/10011960410

A multivariate default model with spread and event risk

Mai, Jan-Frederik; Olivares, Pablo; Schenk, Steffen; … - In: Applied mathematical finance 21 (2014) 1/2, pp. 51-83

Persistent link: https://www.econbiz.de/10010351857

Default Risk in Stochastic Volatility Models

Gersbach, Hans - 2010

We consider a stochastic volatility model of the mean-reverting type to describe the evolution of a firm's values instead of the classical approach by Merton with geometric Brownian motions. We develop an analytical expression for the default probability. Our simulation results indicate that the...

Persistent link: https://www.econbiz.de/10013138808

Modelling dynamic portfolio risk using risk drivers of elliptical processes

Schmidt, Rafael (contributor); … - 2007

The situation of a limited availability of historical data is frequently encountered in portfolio risk estimation …, especially in credit risk estimation. This makes it, for example, difficult to find temporal structures with statistical … selected macroeconomic variables. These findings may improve the estimation of risk measures such as the (portfolio) Value at …