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DefProb: A Corporate Probability of Default Model

Eric G. Falkenstein

Pine River Capital Management

July 15, 2008

This paper presents a method and testing of a corporate nonfinancial default model. Unique among models, it uses agency ratings as as input within the model, as well as financial statement and market information (e.g., Merton model). The default problem is defined as having a flat maximum, well-suited for a simple approach.

Number of Pages in PDF File: 36

Keywords: DefProb, default probability

JEL Classification: G33, G12

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Date posted: March 10, 2008 ; Last revised: June 27, 2009

Suggested Citation

Falkenstein, Eric G., DefProb: A Corporate Probability of Default Model (July 15, 2008). Available at SSRN: http://ssrn.com/abstract=1103404 or http://dx.doi.org/10.2139/ssrn.1103404

Contact Information

Eric G. Falkenstein (Contact Author)
Pine River Capital Management ( email )
601 Calson Parkway, Suite 330
Minnetonka, MN 55347
United States
6123091588 (Phone)
6123091588 (Fax)
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