used include non-performing loans (NPLs), conditional distance to default (CDD which focuses on tail risk of asset … volatility and is the authors own measure of bank default based on an extension to the Merton distance to default (DD) model) and …

used include non-performing loans (NPLs), conditional distance to default (CDD which focuses on tail risk of asset … volatility and is the authors own measure of bank default based on an extension to the Merton distance to default (DD) model) and …

single firm under the independent asset values assumption. At any time, the distance-to-default for a single firm is derived … in the system, and this distance-to-default should provide a different measure for credit rating with the correlated …