Search Results - subject:"implied default probabilities"

Pricing anomaly at the first sight : same borrower in different currencies faces different credit spreads : an explanation by means of a quanto option

Rathgeber, Andreas W.; Rudolph, David; Stöckl, Stefan - In: Review of derivatives research 18 (2015) 2, pp. 107-143

Persistent link: https://www.econbiz.de/10011477291

A Merton Model Approach to Assessing the Default Risk of UK Public Companies

Tudela, Merxe; Young, Garry - Royal Economic Society - RES - 2003

This paper shows how a Merton-model approach can be used to develop measures of the probability of failure of quoted UK companies. Probability estimates are constructed for a group of failed companies and their properties as leading indicators of failure assessed. Probability estimates of...

Persistent link: https://www.econbiz.de/10005577138