Default probability is a fundamental variable determining the credit worthiness of a firm and equity volatility … choosing different non parametric equity volatility estimators on default probability evaluation, when market microstructure … effects of different non-parametric estimation techniques on default probability evaluation. The impact of the non …

default probability. Our simulation results indicate that the stochastic volatility model tends to predict higher default … model predicts lower probabilities of default. The results may have implications for various financial applications …

apparent in the post-Lehman collapse phase of the crisis for the euro area as financial CDS premia rose due to possible default …

apparent in the post-Lehman collapse phase of the crisis for the euro area as financial CDS premia rose due to possible default …