In recent decades, literatures on credit risk measurement evolved dramatically. According to modeling techniques, they can be roughly grouped into two major categories, quot;accounting-based modelsquot; and quot;market-based modelsquot;. However, among the above models, few of them develop...

This study incorporates industrial cyclicality with the corporate solvency ratio process to develop a state-dependent solvency ratio model with parameters varying according to the changes in the state of the industrial economy. A mean-reversion cyclicality process is established to provide...

Among the structural form credit models, this is one of the first few studies that suggest an intrinsic valuation approach that uses the present value of a firm's future cash flows instead of its equity market value to estimate its asset value distribution. We employ an industrial cyclicality...