Grass, Gunnar - Centre Interuniversitaire sur le Risque, les Politiques … - 2012
I propose a new measure of credit risk, model implied credit spreads (MICS), which can be extracted from any structural … credit risk model in which debt values are a function of asset risk and the payout ratio. I implement MICS assuming a barrier … measure (i) predicts higher credit risk for safe firms and lower credit risk for firms with high volatility and leverage than …