EconPapers    
Economics at your fingertips  
 

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
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10.1080/09603107.2011.621883 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apfiec:v:22:y:2012:i:8:p:667-679

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

DOI: 10.1080/09603107.2011.621883

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

 
Page updated 2022-06-20
Handle: RePEc:taf:apfiec:v:22:y:2012:i:8:p:667-679