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A simple empirical model of equity-implied probabilities of default

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Date

2011

Authors

Altman, Edward
Fargher, Neil
Kalotay, Egon

Journal Title

Journal ISSN

Volume Title

Publisher

Institutional Investor, Journals

Abstract

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.

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Keywords

Citation

URI

http://hdl.handle.net/1885/65706

Collections

ANU Research Publications

Source

Journal of Fixed Income

Type

Journal article

Book Title

Entity type

Access Statement

License Rights

DOI

10.3905/jfi.2011.20.3.071

Restricted until

2037-12-31

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