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Estimating Merton's Model by Maximum Likelihood with Survivorship Consideration
16 references·6 citing·38 second hop
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 2003Options, Futures and Other Derivatives3,864 cited
  • 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt2,090 cited
  • 2004Default Risk in Equity Returns1,997 cited
  • 1977An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory1,923 cited
  • 2000A comparative analysis of current credit risk models967 cited
  • 2004Structural Models of Corporate Bond Pricing: An Empirical Analysis926 cited
  • 2001Do Credit Spreads Reflect Stationary Leverage Ratios?765 cited
  • 1986Pricing Risk‐Adjusted Deposit Insurance: An Option‐Based Model709 cited
  • 1984Contingent Claims Analysis of Corporate Capital Structures: an Empirical Investigation678 cited
  • 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt406 cited
  • 1994MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT391 cited
  • 1999Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms322 cited
  • 2000The intersection of market and credit risk

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304 cited
  • 1997Valuing Risky Fixed Rate Debt: An Extension303 cited
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    • 2009Estimating default barriers from market information38 cited
    • 2010Bayesian analysis of structural credit risk models with microstructure noises36 cited
    • 2005Default Risk, Asset Pricing, and Debt Control18 cited