Nearly half a century after Merton’s 1974 paper, the basic framework of modeling a company’s default risk in terms of one-dimensional variable, the total asset value, with fixed debt level has remain unchanged among the work by academic and quantitative modeling community. Under such...

Fundamental credit analysis is widely performed by fixed income analysts and financial institutions to assess the credit risk of individual companies based on their financial data, notably the financial statements reported by the companies. Yet, the conventional analysis has not developed a...

Nearly half a century after Merton’s 1974 paper, the basic framework of modeling a company’s default risk in terms of one-dimensional variable, the total asset value, with fixed debt level has remain unchanged among the work by academic and quantitative modeling community. Under such...

Fundamental credit analysis is widely performed by fixed income analysts and financial institutions to assess the credit risk of individual companies based on their financial data, notably the financial statements reported by the companies. Yet, the conventional analysis has not developed a...

Assuming only bond principal receives recovery at default, it is possible to derive the implied forward curve of both the default probability and the recovery rate from the bond prices of the same corporate issuer if the issuer has at least two bonds outstanding at each maturity with different...