The transformed-data maximum likelihood estimation (MLE) method for struc- tural credit risk models developed by Duan (1994) is extended to account for the fact that observed equity prices may have been contaminated by trading noises. With the presence of trading noises, the likelihood function...

We estimate term structures of default probabilities for private firms using data consisting of 1,759 default events from 29,894 firms between 1999 and 2014. Each firm's default likelihood is characterized by a forward intensity model employing macro risk factors and firm-specific attributes. As...

A high-quality and granular probability of default (PD) model is on many practical dimensions far superior to any categorical credit rating system. Business adoption of a PD model, however, needs to factor in the long-established business/regulatory conventions built around letter-based credit...