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A simple empirical model of equity-implied probabilities of default

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Altman, Edward; Fargher, Neil; Kalotay, Egon

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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.

dc.contributor.authorAltman, Edward
dc.contributor.authorFargher, Neil
dc.contributor.authorKalotay, Egon
dc.date.accessioned2015-12-10T23:18:36Z
dc.identifier.issn1059-8596
dc.identifier.urihttp://hdl.handle.net/1885/65706
dc.description.abstractPractitioners 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.
dc.publisherInstitutional Investor, Journals
dc.sourceJournal of Fixed Income
dc.titleA simple empirical model of equity-implied probabilities of default
dc.typeJournal article
local.description.notesImported from ARIES
local.identifier.citationvolume20
dc.date.issued2011
local.identifier.absfor150101 - Accounting Theory and Standards
local.identifier.ariespublicationf2965xPUB1147
local.type.statusPublished Version
local.contributor.affiliationAltman, Edward, New York University
local.contributor.affiliationFargher, Neil, College of Business and Economics, ANU
local.contributor.affiliationKalotay, Egon, Macquarie University
local.description.embargo2037-12-31
local.bibliographicCitation.issue3
local.bibliographicCitation.startpage71
local.bibliographicCitation.lastpage85
local.identifier.doi10.3905/jfi.2011.20.3.071
dc.date.updated2015-12-10T10:07:45Z
local.identifier.scopusID2-s2.0-78651246966
CollectionsANU Research Publications

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