Do Changes in Distance-to-default Anticipate Changes in the Credit Rating?
Published By: IGIDR on eSS | Published Date: March, 30 , 2012Distance-to-default (DtD) from the Merton model has been used
in the credit risk literature, most successfully as an input into reduced
form models for forecasting default. [WP-2012-010]. URL:[http://www.igidr.ac.in/pdf/publication/WP-2012-010.pdf].
Author(s): Nidhi Aggarwal, Manish Singh, Susan Thomas | Posted on: Apr 10, 2012 | Views(784) | Download (186)