Extending the Merton model: A hybrid approach to assessing credit quality

DOI10.1016/j.mcm.2006.12.012zbMath1142.91505OpenAlexW1993229844MaRDI QIDQ2470199

Alexandros Benos, George Papanastasopoulos

Publication date: 13 February 2008

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2006.12.012

zbMATH Keywords

distance to defaultfinancial ratioscredit qualityaccounting variables

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (2)

A dynamic program for valuing corporate securities ⋮ Default risk and equity returns: evidence from the Taiwan equities market

Cites Work

• The Pricing of Options and Corporate Liabilities
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• A statistical model for the analysis of ordinal level dependent variables
• Unnamed Item
• Unnamed Item

This page was built for publication: Extending the Merton model: A hybrid approach to assessing credit quality