RT Journal Article
SR Electronic
T1 An Empirical Study of Structural Credit Risk Models Using Stock and Bond Prices
JF The Journal of Fixed Income
FD Institutional Investor Journals
SP 38
OP 49
DO 10.3905/jfi.2004.391026
VO 13
IS 4
A1 Jan Ericsson
A1 Joel Reneby
YR 2004
UL https://pm-research.com/content/13/4/38.abstract
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.