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A Merton-Model Approach to Assessing the Default Risk of UK Public Companies · Study

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PreprintA Merton-Model Approach to Assessing the Default Risk of UK Public Companies

Merxe Tudela2004

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Preprintgreen2004

A Merton-Model Approach to Assessing the Default Risk of UK Public Companies

Merxe Tudela · Garry Young

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

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

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References

1973The Pricing of Options and Corporate Liabilities 1983Limited-dependent and qualitative variables in econometrics 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS 2001The Determinants of Credit Spread Changes 2012How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk?2003How Much of Corporate-Treasury Yield Spread Is Due to Credit Risk?: A New Calibration Approach 1970The Demand for Automobiles

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2008Factor Model for Stress-testing with a Contingent Claims Model of the Chilean Banking System 2017Macro Stress Testing with a Macroeconomic Credit Risk Model for Finland 2013Systemic risk analysis using forward-looking Distance-to-Default series 2018Predicting unlisted SMEs' default: Incorporating market information on accounting-based models for improved accuracy 2013Is default probability associated with corporate social responsibility?

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2008Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Modelarticle · 6 shared references 2014Credit Default Swaps: A Surveyarticle · 6 shared references 2010Corporate Bond Default Risk: A 150-Year Perspectivereport · 6 shared references 2013A Review of Merton’s Model of the Firm’s Capital Structure with Its Wide Applicationsreview · 6 shared references 2004Structural Models of Corporate Bond Pricing: An Empirical Analysisarticle · 5 shared references 2012Cash Holdings and Credit Riskarticle · 5 shared references

Details

Year2004

Typepreprint

Published2004-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations54

Files0 public / 0

ShelfFinancial Distress and Bankruptcy Prediction

Identifiers

doi10.2139/ssrn.530642

openalex_workW2128559573

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