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An Empirical Evaluation of Structural Credit Risk Models · Study

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PreprintAn Empirical Evaluation of Structural Credit Risk Models

Nikola A. Tarashev2007

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Preprintgreen2007

An Empirical Evaluation of Structural Credit Risk Models

Nikola A. Tarashev

47 citations·0/0 files stored·SSRN Electronic Journal

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Credit Risk and Financial Regulations Corporate Insolvency and Governance Financial Distress and Bankruptcy Prediction

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References

1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1994Corporate Debt Value, Bond Covenants, and Optimal Capital Structure 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt 1996Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads 1991The Term Structure as a Predictor of Real Economic Activity 2004Assessing the Probability of Bankruptcy 1988Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence 1997How Costly is Financial (Not Economic) Distress? Evidence from Highly Leveraged Transactions that Became Distressed

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2008The Pricing of Credit Default Swaps under a Markov-Modulated Merton’s Structural Model 2006Economic Integration and Financial Stability

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Details

Year2007

Typepreprint

Published2007-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations47

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.2139/ssrn.846304

openalex_workW1519863020

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