) lays the groundwork for the assessment of a firm's credit risk by its default probability. Doubtlessly, the volatility of … approach with conditional volatility models, we empirically examine in this article that the specification of conditional … volatility affects the probability of default and therefor the credit rating. More precisely, we show on German stock market data …

doing so, substitute book values for market values and fluctuations of bank account balances for volatility of stock prices … balances as a proxy for the asset volatility has also performed well. One other finding is that the only three companies that …

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 …