Structural models have been developed and used in financial literature to assess the probability of default of corporations. This article aims at reversing this approach, using this probability as an input and investigating if the default barrier can be considered flat, as done in similar analysis, or should more appropriately be time-varying.

Exploiting default probabilities in a structural model with nonconstant barrier

MORETTO, ENRICO
2012-01-01

Abstract

Structural models have been developed and used in financial literature to assess the probability of default of corporations. This article aims at reversing this approach, using this probability as an input and investigating if the default barrier can be considered flat, as done in similar analysis, or should more appropriately be time-varying.
2012
default structural models; default implied probability; nonconstant barrier options; KMV model
Agosto, A.; Moretto, Enrico
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11383/1726177
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