Search Results - subject:"Structural Models"

Modelling default risk with occupation times

Makarov, Roman; Metzler, Adam; Ni, Ziyi - In: Finance research letters 13 (2015), pp. 54-65

Persistent link: https://www.econbiz.de/10011552385

Valuation and analysis of zero-coupon contingent capital bonds

Metzler, A.; Reesor, R. M. - In: Mathematics and financial economics 9 (2015) 2, pp. 85-109

Persistent link: https://www.econbiz.de/10011349466

Can structural models price default risk? : evidence from bond and credit derivative markets

Ericsson, Jan; Reneby, Joel; Wang, Hao - In: The quarterly journal of finance 5 (2015) 3, pp. 1-32

Persistent link: https://www.econbiz.de/10011381483

Parameter estimation of structural dynamic models using eigenvalue and eigenvector information

Allen, J.J.; Martinez, D.R. - 2008

Structural system identification methods are analytical techniques for reconciling test data with analytical models. The response data frequently used to compare a finite element model and test data are the eigenvalues of the system. However, eigenvalues alone cannot assure an adequate model....

Persistent link: https://www.econbiz.de/10009435739

Linking credit risk premia to the equity premium

Berg, Tobias; Kaserer, Christoph - 2008

estimation method which is based on credit valuations. The main idea is straigtforward: We use structural models to link equity … default barriers - which is usually necessary in traditional applications of structural models. Third, it is robust to model … changes. We examine the model of Duffie/Lando (2001) - which is one of the most sophisticated structural models currently …

Persistent link: https://www.econbiz.de/10010305726

Forecast with judgment and models

Monti, Francesca - 2008

This paper proposes a simple and model-consistent method for combining forecasts generated by structural micro-founded models and judgmental forecasts. The method also enables the judgmental forecasts to be interpreted through the lens of the model. We illustrate the proposed methodology with a...

Persistent link: https://www.econbiz.de/10011506673

Implied Market Loss Given Default: structural-model approach

Seidler, Jakub - Institut ekonomických studií, Univerzita Karlova v Praze - 2008

This paper focuses on the key credit risk parameter–Loss Given Default (LGD). We describe its general properties and determinants with respect to seniority of debt, characteristics of debtors or macroeconomic conditions. Further, we illustrate how the LGD can be extracted from market...

Persistent link: https://www.econbiz.de/10005537000

Ownership links, leverage and credit risk

Luciano, Elisa; Nicodano, Giovanna - Collegio Carlo Alberto, Università degli Studi di Torino - 2008

This paper explores the relationship between optimal leverage and credit risk under ownership links. It develops a structural model of a parent and a subsidiary, which issues debt in its own name under a guarantee by the parent. We find that zero leverage can be optimal for the guarantor, while...

Persistent link: https://www.econbiz.de/10005405547

The Impact of Retail Store Brands on Manufacturer Brands: A Generalization of Steiner’s Elasticity Model

Cohen, Michael; Cotterill, Ronald - Zwick Center for Food and Resource Policy, Department … - 2008

between interbrand and intrabrand elasticities we derive and test structural models of supply channel conduct that explicitly …

Persistent link: https://www.econbiz.de/10010914225

Corporate Rating. Multidimensional Perspective in the Context of the Differentiation in Terms of Localization Criteria. Empirical Perspective on Developed versus Emerging Countries

Triandafil, Cristina Maria; Brezeanu, Petre; Badea, Leonardo - In: Theoretical and Applied Economics 10(527) (2008) 10(527), pp. 03-16

This paper focuses on corporate rating delivery process in terms of localization criteria differentiation. Corporate rating is conceived as a default predictor. We conduct a comprehensive study of the existing literature on the corporate default models, outlining the weak and the strong points,...

Persistent link: https://www.econbiz.de/10005022219