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