Skip navigation
Skip navigation
Open Research will be down for maintenance between 8:00 and 8:15 am on Tuesday, December 1 2020.

A simple empirical model of equity-implied probabilities of default

Altman, Edward; Fargher, Neil; Kalotay, Egon


Practitioners and academics have exploited the theoretical restrictions developed in Merton [1974] 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 [2004], and Bharath and Shumway [2008] have advocated the value of the approach relative to widely used alternatives.

CollectionsANU Research Publications
Date published: 2011
Type: Journal article
Source: Journal of Fixed Income
DOI: 10.3905/jfi.2011.20.3.071


File Description SizeFormat Image
01_Altman_A_simple_empirical_model_of_2011.pdf1.2 MBAdobe PDF    Request a copy

Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  19 May 2020/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator