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Using Structural Models for Default Prediction

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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1016/0304-405x(90)90058-8openalex-extracted

Bankruptcy resolution

inferredcites →https://doi.org/10.1016/j.jfineco.2005.10.011openalex-extracted

Multi-period corporate default prediction with stochastic covariates

inferredcites →https://doi.org/10.1016/j.jfineco.2007.04.003openalex-extracted

Financial distress and corporate risk management: Theory and evidence

inferredcites →https://doi.org/10.1016/j.jfineco.2007.07.004openalex-extracted

Decomposing swap spreads

inferredcites →https://doi.org/10.1016/s0148-6195(99)00009-0openalex-extracted

Identifying failing companies: a re-evaluation of the logit, probit and DA approaches

inferredcites →https://doi.org/10.1016/s0304-405x(02)00260-xopenalex-extracted

A barrier option framework for corporate security valuation

inferredcites →https://doi.org/10.1017/cbo9780511609435.021openalex-extracted

Bankruptcy resolution: Direct costs and violation of priority of claims

inferredcites →https://doi.org/10.1086/209665openalex-extracted

Forecasting Bankruptcy More Accurately: A Simple Hazard Model

inferredcites →https://doi.org/10.1086/260062openalex-extracted

The Pricing of Options and Corporate Liabilities

inferredcites →https://doi.org/10.1086/497044openalex-extracted

The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications*

inferredcites →https://doi.org/10.1093/rapstu/ras011openalex-extracted

How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk?

inferredcites →https://doi.org/10.1093/rfs/hhg053openalex-extracted

Structural Models of Corporate Bond Pricing: An Empirical Analysis

inferredcites →https://doi.org/10.1093/rfs/hhn044openalex-extracted

Forecasting Default with the Merton Distance to Default Model

inferredcites →https://doi.org/10.1093/rof/8.4.537openalex-extracted

Bankruptcy Prediction with Industry Effects

inferredcites →https://doi.org/10.1111/0022-1082.00046openalex-extracted

Is the Risk of Bankruptcy a Systematic Risk?

inferredcites →https://doi.org/10.1111/0022-1082.00395openalex-extracted

Do Credit Spreads Reflect Stationary Leverage Ratios?

inferredcites →https://doi.org/10.1111/0022-1082.00402openalex-extracted

The Determinants of Credit Spread Changes

inferredcites →https://doi.org/10.1111/j.1540-6261.1968.tb00843.xopenalex-extracted

FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY

inferredcites →https://doi.org/10.1111/j.1540-6261.1974.tb03058.xopenalex-extracted

ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*

inferredcites →https://doi.org/10.1111/j.1540-6261.1984.tb03649.xopenalex-extracted

Contingent Claims Analysis of Corporate Capital Structures: an Empirical Investigation

inferredcites →https://doi.org/10.1111/j.1540-6261.1990.tb03723.xopenalex-extracted

Security Pricing and Deviations from the Absolute Priority Rule in Bankruptcy Proceedings

inferredcites →https://doi.org/10.1111/j.1540-6261.1994.tb02452.xopenalex-extracted

Corporate Debt Value, Bond Covenants, and Optimal Capital Structure

inferredcites →https://doi.org/10.1111/j.1540-6261.1995.tb04039.xopenalex-extracted

Survival

inferredcites →https://doi.org/10.1111/j.1540-6261.1996.tb02714.xopenalex-extracted

Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads

inferredcites →https://doi.org/10.1111/j.1540-6261.2004.00650.xopenalex-extracted

Default Risk in Equity Returns

inferredcites →https://doi.org/10.1201/9781584889953-21openalex-extracted

& The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications

inferredcites →https://doi.org/10.1515/9781400829170?locatt=mode:legacyopenalex-extracted

inferredcites →https://doi.org/10.2139/ssrn.1107247openalex-extracted

The Impact of the Corporate Diversification on the Option Value of Equity

inferredcites →https://doi.org/10.2139/ssrn.171436openalex-extracted

inferredcites →https://doi.org/10.2139/ssrn.191668openalex-extracted

inferredcites →https://doi.org/10.2139/ssrn.271719openalex-extracted

An Empirical Examination of the Classical Theory of Corporate Security Valuation

inferredcites →https://doi.org/10.2139/ssrn.302681openalex-extracted

inferredcites →https://doi.org/10.2139/ssrn.556080openalex-extracted

Measuring Default Risk Premia from Default Swap Rates and EDFs

inferredcites →https://doi.org/10.2139/ssrn.556928openalex-extracted

Structural Models of Credit Risk are Useful: Evidence from Hedge Ratios on Corporate Bonds

inferredcites →https://doi.org/10.2307/2326607openalex-extracted

Valuing Corporate Securities: Some Effects of Bond Indenture Provisions

inferredcites →https://doi.org/10.2307/2328745openalex-extracted

inferredcites →https://doi.org/10.2307/2329229openalex-extracted

Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads

inferredcites →https://doi.org/10.2307/2329288openalex-extracted

A Simple Approach to Valuing Risky Fixed and Floating Rate Debt

inferredcites →https://doi.org/10.2307/2330330openalex-extracted

The Valuation of Corporate Liabilities as Compound Options

inferredcites →https://doi.org/10.2307/2490395openalex-extracted

Financial Ratios and the Probabilistic Prediction of Bankruptcy

inferredcites →https://doi.org/10.2307/2978814openalex-extracted

On the Pricing of Corporate Debt: The Risk Structure of Interest Rates

inferredcites →https://doi.org/10.2307/2978933openalex-extracted

inferredcites →https://doi.org/10.2307/3665545openalex-extracted

Determinants of the Relative Interest Rate Sensitivities of Corporate Bonds

inferredcites →https://doi.org/10.2307/3665932openalex-extracted

Does Default Risk in Coupons Affect the Valuation of Corporate Bonds?: A Contingent Claims Model

inferredcites →https://doi.org/10.1111/j.1540-6261.2008.01416.xopenalex-snapshot

In Search of Distress Risk

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.1107247openalex-extracted

The Impact of the Corporate Diversification on the Option Value of Equity

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