In this work, we model the empirically observed recovery risk premium by adding an additional correlated risk driver to Merton’s model for pricing corporate bonds. This risk driver represents the ...
Common ordinal models, including the ordered logit model and the continuation ratio model, are formulated by a common score (ie, a linear combination of given explanatory variables) plus rank-specific ...
Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation This paper uses a Merton-type estimate of the probability of default (PoD) for the main banks in a sample of Organization ...
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