Download This PaperDefProb: A Corporate Probability of Default Model
36 Pages Posted: 10 Mar 2008 Last revised: 15 Aug 2008
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: 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
Do you have a job opening that you would like to promote on SSRN?
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.