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A Simple Empirical Model of Equity-ImpliedProbabilities of Default
11 references·4 citing·31 second hop
A Simple Empirical Model of Equity-ImpliedProbabilities of Default (2010)A Simple Empirical Model of Equity-Implie…Forecasting Default with the Merton Distance to Default Model (2008)Forecasting Default with the …Accounting-based versus market-based cross-sectional models of CDS spreads (2008)Accounting-based versus marke…A Point-in-Time Perspective on Through-the-Cycle Ratings (2006)A Point-in-Time Perspective o…Corporate Financial Distress and Bankruptcy (2005)Corporate Financial Distress …Default Risk in Equity Returns (2004)Default Risk in Equity ReturnsAssessing the Probability of Bankruptcy (2004)Assessing the Probability of …Portfolio Credit Risk (1998)Portfolio Credit RiskON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)On the Pricing of Corporate D…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)FINANCIAL RATIOS, DISCRIMINAN…Choice with Limited Capacity (2019)Choice with Limited CapacityDefault probability estimation via pair copula constructions (2015)Default probability estimatio…Combining market and accounting-based models for credit scoring using a classification scheme based on support vector machines (2014)Combining market and accounti…The use of financial ratio models to help investors predict and interpret significant corporate events (2013)The use of financial ratio mo…Forecasting Bankruptcy More Accurately: A Simple Hazard Model (2001)The Economics of Structured Finance (2009)Credit Spreads and Business Cycle Fluctuations (2012)Predictably Unequal? The Effects of Machine Learning on Credit Markets (2021)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Financial Ratios and the Probabilistic Prediction of Bankruptcy (1980)Multi-period corporate default prediction with stochastic covariates (2006)The impact of corporate social responsibility on the cost of bank loans (2010)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)… and the Cross-Section of Expected Returns (2015)The cost of capital, corporation finance and the theory of investment (2008)Managerial incentives and risk-taking☆ (2005)How does financial reporting quality relate to investment efficiency? (2009)The intersection of market and credit risk (2000)Credit risk optimization with Conditional Value-at-Risk criterion (2001)Credit risk drivers: Evaluating the contribution of firm level information and of macroeconomic dynamics (2008)The Impact of Earnings on the Pricing of Credit Default Swaps (2009)Credit Default Swaps: A Survey (2014)Distressed Firm and Bankruptcy Prediction in an International Context: A Review and Empirical Analysis of Altman's Z-Score Model (2014)Is the Risk of Bankruptcy a Systematic Risk? (1998)The Long‐Run Stock Returns Following Bond Ratings Changes (2001)The effects of government ownership on bank lending (2003)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1968FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY14,869 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates2,752 cited
  • 2008Forecasting Default with the Merton Distance to Default Model2,220 cited
  • 2004Default Risk in Equity Returns1,997 cited
  • 2004Assessing the Probability of Bankruptcy1,357 cited
  • 2005Corporate Financial Distress and Bankruptcy759 cited
  • 1998Portfolio Credit Risk362 cited
  • 2008Accounting-based versus market-based cross-sectional models of CDS spreads259 cited
  • 2006A Point-in-Time Perspective on Through-the-Cycle Ratings115 cited

Cited by

  • 2014Combining market and accounting-based models for credit scoring using a classification scheme based on support vector machines46 cited
  • 2013The use of financial ratio models to help investors predict and interpret significant corporate events45 cited
  • 2015Default probability estimation via pair copula constructions37 cited
  • 2019Choice with Limited Capacity

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1 cited