A simple empirical model of equity-implied probabilities of default
Practitioners and academics have exploited the theoretical restrictions developed in Merton  to predict distress based on the risk-neutral probability of default inferred from equity prices. Recent empirical studies such as Hillegeist, Keating, Cram, and Lundstedt , and Bharath and Shumway  have advocated the value of the approach relative to widely used alternatives.
|Collections||ANU Research Publications|
|Source:||Journal of Fixed Income|
|01_Altman_A_simple_empirical_model_of_2011.pdf||1.2 MB||Adobe PDF||Request a copy|
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