Contents
Estimation of the State Variable Process Parameters
Analysis of the Time Series Properties of the Parameters
Analysis of Fama–French Four-Factor Model with No Default
Analysis of a Bubble Component (P/E ratio) in Stock Prices
Analysis of the Default Intensity
Relative Performance of the Equity Return Models
Comparison of Default Intensities Based on Debt versus Equity
CHAPTER 2Predictions of Default Probabilities in Structural Models of DebtHayne E. Leland
Structural Models and Default Risk
The Default Boundary in Exogenous and Endogenous Cases
The Default Probability with Constant Default Barrier
Calibration of Models: The Base Case
Matching Empirical Default Frequencies with the L-T Model
Matching Empirical DPS with the L-S Model
Some Preliminary Thoughts on the Relationship Between the KMV Approach and L-S/L-T
CHAPTER 3Survey of the Recent Literature: Recovery RiskSanjiv R. Das
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