PT  - JOURNAL ARTICLE
AU  - Jan Ericsson
AU  - Joel Reneby
TI  - An Empirical Study of Structural Credit Risk Models Using Stock and Bond Prices
AID  - 10.3905/jfi.2004.391026
DP  - 2004 Mar 31
TA  - The Journal of Fixed Income
PG  - 38--49
VI  - 13
IP  - 4
4099  - https://pm-research.com/content/13/4/38.short
4100  - https://pm-research.com/content/13/4/38.full
AB  - Reduced-form credit risk models are often thought to be better suited than structural models for pricing corporate bonds. The authors challenge this view. Conditioned not only on equity but on bond and dividend information also, a structural model performs well compared to previously tested reduced-form models. In the pricing of bond portfolios, model errors are to a large extent diversifiable.