Gündüz, Yalin; Uhrig-Homburg, Marliese - In: Review of Derivatives Research 17 (2014) 1, pp. 39-78
This study provides a rigorous empirical comparison of structural and reduced-form credit risk frameworks. The literature differentiates between structural models that are based on modeling of the evolution of the balance sheet of the issuer, and reduced-form models that specify credit risk...
