Estimation of default probability by three-factor structural model

Abstract

This paper develops a three-factor structural model for estimating probability of default. The model incorporates the stochastic asset value of a corporate, liability and risk-free interest rate with time-dependent model parameters. A corporate defaults when its leverage ratio increases above a predefined default-triggering level. Using average market data… (More)
DOI: 10.1109/CIFER.2003.1196235

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Cite this paper

@inproceedings{Hui2003EstimationOD, title={Estimation of default probability by three-factor structural model}, author={Cho-Hoi Hui and Edward Chi-Fai Lo and Nicole Ming-Xi Huang}, booktitle={CIFEr}, year={2003} }