36 Pages Posted: 10 Mar 2008 Last revised: 27 Jun 2009
Date Written: 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.
Keywords: DefProb, default probability
JEL Classification: G33, G12
Suggested Citation: Suggested Citation