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

DOI10.1016/J.MCM.2006.12.012zbMATH Open1142.91505OpenAlexW1993229844MaRDI QIDQ2470199FDOQ2470199

Authors: 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

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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)

Cites Work

• The pricing of options and corporate liabilities
• Title not available (Why is that?)
• Martingales and arbitrage in multiperiod securities markets
• Title not available (Why is that?)
• Martingales and stochastic integrals in the theory of continuous trading
• A statistical model for the analysis of ordinal level dependent variables

Cited In (2)

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

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