This article empirically tests five structural models of corporate bond pricing: those of Merton
(1974), Geske (1977), Longstaff and Schwartz (1995), Leland and Toft (1996), and Collin …

Models of financial distress rely primarily on accounting-based information (eg [Altman, E.,
1968. Financial ratios, discriminant analysis and the prediction of corporate bankruptcy …

Using a comprehensive and unique data set from Moody's, we examine correlations
between default risk for over 7,000 US public firms. This is the first paper to empirically …

In this paper, we suggest a deterministic approach for modelling credit risk time series even
in distressed periods (including COVID-19). We examine the Moody's Seasoned Aaa …

Traditional quantitative credit risk models assume that changes in credit spreads are
normally distributed but empirical evidence shows that they are likely to be skewed, fat …

Reduced-form models of default risk require estimates of the recovery rate, or equivalently,
the loss given default. In many cases, this is simply set at a fixed recovery rate of 40%. But …

O objetivo da tese foi analisar a influência do rating, provido por agências independentes
na formação dos preços de emissão de debêntures. A base de dados contou com 354 …

This paper examines complex relations existing between corporate credit spread indices
and the Treasury and Equity markets. A cointegration analysis reveals that a long run …

Whereas much of the empirical work on credit default swap spreads has looked at time-
series dynamics, in this paper, we examine cross-sectional regularities in CDS pricing …

In this paper we investigate whether information in credit spreads helps improve the
forecasts of government bond yields. To do this, we propose and estimate a joint dynamic …