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Estimating Merton's Model by Maximum Likelihood with Survivorship Consideration · Study

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PreprintEstimating Merton's Model by Maximum Likelihood with Survivorship Consideration

Jin‐Chuan Duan2004

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Preprintgreen2004

Estimating Merton's Model by Maximum Likelihood with Survivorship Consideration

Jin‐Chuan Duan · Jean‐Guy Simonato · Geneviève Gauthier · Sophia Zaanoun

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

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Credit Risk and Financial Regulations Stochastic processes and financial applications Financial Distress and Bankruptcy Prediction

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References

1973The Pricing of Options and Corporate Liabilities 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*2003Options, Futures and Other Derivatives 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt 2004Default Risk in Equity Returns 1977An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory 2000A comparative analysis of current credit risk models 2004Structural Models of Corporate Bond Pricing: An Empirical Analysis

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2010Estimating asset correlations from stock prices or default rates—Which method is superior?2006CREDIT RISK MODELS II: STRUCTURAL MODELS 2008Structural models of corporate bond pricing with maximum likelihood estimation 2009Estimating default barriers from market information 2010Bayesian analysis of structural credit risk models with microstructure noises

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2015Using Merton model for default prediction: An empirical assessment of selected alternativesarticle · 10 shared references 2007A market-based framework for bankruptcy predictionarticle · 9 shared references 2006CREDIT RISK MODELS II: STRUCTURAL MODELSpreprint · 9 shared references 2008Structural models of corporate bond pricing with maximum likelihood estimationarticle · 9 shared references 2001The Valuation of Corporate Liabilities: Theory and Testspreprint · 9 shared references 2007Estimating systemic risk in the international financial systemarticle · 8 shared references

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Year2004

Typepreprint

Published2004-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations52

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.2139/ssrn.557088

openalex_workW1554876069

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