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Corporate stock and bond return correlations and dynamic adjustments of capital structure

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Subprime credit, idiosyncratic risk, and foreclosures

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Chronicle of a death foretold : does higher volatility anticipate corporate default?

Ampudia, Miguel; Busetto, Filippo; Fornari, Fabio - 2022

We test whether a simple measure of corporate insolvency based on equity return volatility - and denoted as Distance to … Insolvency (DI) - delivers better predictions of corporate default than the widely-used Expected Default Frequency (EDF) measure …