Two models of default risk are prominent in the financial literature: Merton's structural model and Altman's reduced-form model. The former has the benefit of being responsive, since the probabilities of default can continually be updated with the evolution of firms' asset values. Its main flaw...

We use the maximum likelihood (ML) estimation approach to estimate the default barriers from market values of equities for a sample of 762 public industrial Canadian firms. The ML approach allows estimating simultaneously the asset's instantaneous drift, volatility and the barrier level, when...

We use the maximum likelihood (ML) estimation approach to estimate the default barriers from market values of equities for a sample of 762 public industrial Canadian firms. The ML approach allows us to estimate the asset instantaneous drift, volatility and barrier level simultaneously, when the...

In this paper, we investigate the hybrid contingent claim approach with publicly traded Canadian companies listed on the Toronto Stock Exchange. Our goal is to assess how combining their continuous valuation by the market with the value given in their financial statements improves our ability to...

Two models of default risk are prominent in the financial literature: Merton's structural model and Altman's non-structural model. Merton's structural model has the benefit of being responsive, since the probabilities of default can continually be updated with the evolution of firms' asset...

We propose a parametric model based on the Poisson distribution that permits to take into account both unobserved worker and workplace heterogeneity as long as both effects are nested. By assuming that workplace and worker unobserved heterogeneity components follow a gamma and a Dirichlet...