DefProb: A Corporate Probability of Default Model

36 Pages Posted: 10 Mar 2008 Last revised: 27 Jun 2009

Eric G. Falkenstein

Pine River Capital Management

Date Written: July 15, 2008

Abstract

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

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

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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