Lehnert, Thorsten; Jin, Xisong; Simone, Francisco Nadal de - Centre de Recherche en Économie Appliquée (CREA), … - 2011
Abstract: In this study, we empirically investigate and evaluate various approaches to structurally assess credit risk using a panel of European banking groups. We consider not only the standard approaches in the literature, but also include models that allow the asset volatility to be...