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Exploiting default probabilities in a structural model with nonconstant barrier

Arianna Agosto and Enrico Moretto ()

Applied Financial Economics, 2012, vol. 22, issue 8, 667-679

Abstract: Structural models have been developed and used in financial literature to assess the probability of default of corporations. This article aims at reversing this approach, using this probability as an input and investigating if the default barrier can be considered flat, as done in similar analysis, or should more appropriately be time-varying.

Date: 2012
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DOI: 10.1080/09603107.2011.621883

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Handle: RePEc:taf:apfiec:v:22:y:2012:i:8:p:667-679