We model the term structure of Corporate Credit based on Competitive Advantage. Our approach dispenses with the volatility based Geometric Brownian Motion prevalent in most structural-form models. Instead we consider the competitive advantage enjoyed by a firm as the central tenet of our model...

We present a novel model for the term structure of Corporate Credit based on Competitive Advantage. Our approach dispenses with the volatility based Geometric Brownian Motion that is prevalent in most structural-form firm models. Instead we consider the competitive advantage enjoyed by a firm as...