Exploiting default probabilities in a structural model with nonconstant barrier

Structural models have been developed and used in financial literature to assess the probability of default of corporations. This article aims at reversing this approach, using this probability as an input and investigating if the default barrier can be considered flat, as done in similar analysis, or should more appropriately be time-varying.

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Year of publication:	2012
Authors:	Agosto, Arianna ; Moretto, Enrico
Published in:	Applied Financial Economics. - Taylor & Francis Journals, ISSN 0960-3107. - Vol. 22.2012, 8, p. 667-679
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010549285