Do Changes in Distance-to-default Anticipate Changes in the Credit Rating?

Published By: IGIDR on eSS | Published Date: March, 30 , 2012

Distance-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:[].

Author(s): Nidhi Aggarwal, Manish Singh, Susan Thomas | Posted on: Apr 10, 2012 | Views(445) | Download (116)

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