Default probability is a fundamental variable determining the credit worthiness of a firm and equity volatility estimation plays a key role in its evaluation. Assuming a structural credit risk modeling approach, we study the impact of choosing different non parametric equity volatility...

Equity returns and fi rm's default probability are strictly interrelated financial measures capturing the credit risk profi le of a fi rm. Following the idea proposed in [20] we use high-frequency equity prices in order to estimate the volatility risk component of a fi rm within Merton [17]...

Equity returns and firm's default probability are strictly interrelated financial measures capturing the credit risk profile of a firm. Following the idea proposed in [20] we use high-frequency equity prices in order to estimate the volatility risk component of a firm within Merton [17]...

We want to recover the transition kernel P of a Markov chain X when only a sub-sequence of X is available. The time gaps between the observations are iid with unknown distribution. We propose a method to build an estimator of P under the assumption that it has some zero entries. Its asymptotic...

This paper analyzes a structural model of corporate debt in the spirit of Leland (1994) model within a more realistic general context where payouts and asymmetric tax-code provisions are introduced. We analytically derive the value of the tax benefit claim in this context and study the joint...

This paper analyzes the capital structure of a firm in an infinite time horizon following Leland (1994) under the more general hypothesis that the firm’s assets value process belongs to a fairly large class of stochastic volatility models. By applying singular perturbation theory, we fully...