The new structural model of credit risk based on a normal firm value diffusion process can infer the firm value volatility from bank credit spreads that closely agreeing with the empirically estimated firm value volatility. We use the spread-implied firm value volatility as the model volatility...

Using a new structural model of credit risk based on the normal instead of the lognormal firm value dynamics and market price implied asset value volatility as the model volatility input, we quantify the value of credit spreads of the four largest U.S. banks had their senior unsecured bonds...

We derive the formulas for pricing corporate liabilities using a normal and a lognormal firm value diffusion process (FVDP). So far well-known structural firm models have only allowed positive firm values, but real firm value can be negative because a firm can incur losses beyond its ability to...