Measuring Distance-to-Default for Financial and Non-Financial Firms

Jin-Chuan Duan and Tao Wang
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Jin-Chuan Duan: Risk Management Institute & Department of Finance, National University of Singapore, Singapore
Tao Wang: Department of Finance, National University of Singapore, Singapore

Chapter 6 in Global Credit Review:Volume 2, 2012, pp 95-108 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:INTRODUCTIONTHE DISTANCE-TO-DEFAULTESTIMATION METHODSThe Market Value Proxy MethodThe Volatility Restriction MethodThe KMV MethodThe Transformed-Data Maximum Likelihood Estimation MethodOther Liabilities and the Transformed-Data MLE Estimation MethodCONCLUSIONNOTESREFERENCES

Keywords: Credit Ratings; Credit Risk; Credit Markets; Financial Regulation; Financial Markets; European Sovereign Crisis (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (28)

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