This paper explains and documents many issues related to default prediction based on financial statements. The underlying methodology is completely revealed and addresses many important practicalities in empirical default estimation. Test statistics are also provided on various models using our...

Department: Economics.

Investors in commercial paper (CP) markets include money market mutual funds, corporate treasurers, state and local governments, and commercial banks and their trust departments. The obligors in the market are predominantly large and highly creditworthy corporations. The credit risks faced by CP...