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Market microstructure effects on firm default risk evaluation

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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 … noise is considered. A general stochastic volatility framework with jumps for the underlying asset dynamics is defined …

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Momentum and default risk : some results using the jump component

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Nonlinear modeling of financial stability using default probabilities from the capital market

Albu, Lucian-Liviu; Lupu, Radu; Călin, Adrian Cantemir; … - In: Romanian journal of economic forecasting 22 (2019) 1, pp. 19-37

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Default prediction models : the role of forward-looking measures of returns and volatility

Miao, Hong; Ramchander, Sanjay; Ryan, Patricia; Wang, … - In: Journal of empirical finance 46 (2018), pp. 146-162

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Explaining CDS prices with Merton's model before and after the Lehman default

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Monitoring financial distress in a high-stress financial world : the role of option prices as bank risk metrics

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Responsible lending : credit may precipitate firm failure in volatile macroeconomic environments

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Exponential Lévy models extended by a jump to default

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