Forecasting Default with the Merton Distance to Default Model
Author:
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics,Finance,Accounting
Link
http://academic.oup.com/rfs/article-pdf/21/3/1339/5420533/hhn044.pdf
Reference29 articles.
1. Supervision Basel Committee on Banking . Credit Risk Modelling: Current Practices and Applications. 1999. Basel, Switzerland.
2. Berndt A. Douglas R. Duffie D. Ferguson M. Schranz D. Measuring Default Risk Premia from Default Swap Rates and EDFs. 2005. Working Paper, Stanford University.
3. British Bankers' Association . BBA Credit Derivatives Report 2001/2002. 2002.
4. Campbell J. Y. Hilscher J. Szilagyi J. In Search of Distress Risk. Journal of Finance 2007. http://www.afajof.org/afa/forthcoming/3185.pdf .
5. Equity Volatility and Corporate Bond Yields
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