کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5085359 | 1477952 | 2007 | 16 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A simple continuous measure of credit risk
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This paper introduces a simple parameterization for the risk-neutral default probability distributions for risky firms that are easily computed from quoted bond prices. The corresponding expected times to default have a particularly simple form and are proposed as a measure for credit risk. Being continuous in nature, times to default provide a much finer measure of risk than those provided by ratings agencies. Comparison with the ratings provided by Moody's and the distance to default measures calculated using the Merton [Merton, R. (1974). On the pricing of corporate debt: the risk structure of interest rates. Journal of Finance, 2(2), 449-470] model shows that the highest rank correlation is found between the proposed time to default measure and Moody's ratings.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 16, Issue 5, 2007, Pages 508-523
Journal: International Review of Financial Analysis - Volume 16, Issue 5, 2007, Pages 508-523
نویسندگان
Hans Byström, Oh Kang Kwon,