Merton (1974) suggested a structural model for default prediction which allows using timely information from the equity market. The literature describes several specifications to the application of the model, including methods presumably used by practitioners. However, recent studies demonstrate...

Prior literature documents rating agencies adopting more stringent rating criteria over time. Following earlier research on this puzzling phenomenon, our main contribution is the hypothesis that rising rating accuracy explains some of the observed patterns. We present empirical evidence...

Prior literature documents rating agencies adopting more stringent rating criteria over time. Following earlier research on this puzzling phenomenon, our main contribution is the hypothesis that rising rating accuracy explains some of the observed patterns. We present empirical evidence...

Financial tools allow new possibilities and opportunities for manufacturers and retailers in markets with a secondary market to create better segmentation schemes, provide creative means to differentiate their products and services, and increase the value they can offer consumers. However,...

We present the valuation of contracts that combine financial structured products and insurance policies - pure endowment insurance and risk insurance contracts. The embedded options in these products promise, upon exercise, the higher of either the future value of the invested fund in risk-free...