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Expected Default Probabilities in Structural Models: Empirical Evidence

โœ Scribed by Kanak Patel; Ricardo Pereira

Book ID
106513779
Publisher
Springer US
Year
2007
Tongue
English
Weight
344 KB
Volume
34
Category
Article
ISSN
0895-5638

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โœ Yong ZHOU; Shangyu XIE; Yuan YUAN ๐Ÿ“‚ Article ๐Ÿ“… 2008 ๐Ÿ› Elsevier โš– 241 KB

Reduced form model is one of the most popular models for studying credit risks. The key parameter in these models is the default probability. Under the assumption that default is exogenous, it is quite easy to compute the default probability through a statistical model. In this article, we argue tha