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Forecasting Default with the Kmv-Merton Model · Study

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PreprintForecasting Default with the Kmv-Merton Model

Sreedhar T. Bharath2004

OA

Preprintgreen2004

Forecasting Default with the Kmv-Merton Model

Sreedhar T. Bharath · Tyler Shumway

225 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

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 225 citations exist upstream.

References

1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*2001Forecasting Bankruptcy More Accurately: A Simple Hazard Model 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market 2004Default Risk in Equity Returns 2001Explaining the Rate Spread on Corporate Bonds 2004Assessing the Probability of Bankruptcy 2003Equity Volatility and Corporate Bond Yields 2004The relationship between credit default swap spreads, bond yields, and credit rating announcements

Cited by

2011Mergers increase default risk 2005Multi-Period Corporate Failure Prediction with Stochastic Covariates 2008Frailty Correlated Default 2008Random Survival Forests Models for SME Credit Risk Measurement 2008Bankruptcy prediction: the case of Japanese listed companies 2007Stocks or Options? Moral Hazard, Firm Viability, and the Design of Compensation Contracts 2012Are Short Sellers Informed? Evidence from the Bond Market 2006What drives credit risk in emerging markets? The roles of country fundamentals and market co-movements

Details

Year2004

Typepreprint

Published2004-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations225

Files0 public / 0

ShelfCredit Risk and Financial Regulations

Identifiers

doi10.2139/ssrn.637342

openalex_workW2123249113

Links

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