Debt equity models

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Stub.

At present this page contains an indexing to papers, descriptions and implementations of models relating debt pricing to equity prices (and less frequently, the other way round). Often termed "structural models" because the capital structure of the company is directly addressed, this approach contrasts with reduced form credit models in which default intensities are exogenous.

[edit] Classic Papers

  • On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (pdf) Robert C. Merton JOF 1974

[edit] Papers

  • Predictions of Expected Default Frequencies in Structural Models of Debt (defaultrisk.com)] Hayne E. Leland
  • Fitch Equity Implied Rating and Probability of Default Model (2007) Bo Liu, Ahmet Kocagil and Greg M. Gupton
  • Clientele Change, Liquidity Shock and the Return on Financially Distressed Stocks (2007) Zhi Da, Pengjie Gao
  • Default Risk in Equity Returns (2007) Maria Vassalou, Yuhang Xing
  • DefProb. A Corporate Probability of Default Model (2008) Eric Falkenstein. See also DefProb.Com
  • An empirical analysis of structural models of corporate debt pricing (IDEAS) Joao C. A. Teixeira
  • Level Simple Structural Models (Nomura) Martin Baxter
  • A Structural Model with Unobserved Default Boundary (pdf) Thorsten Schmidt
  • Modeling Default Risk: A new structural approach (pdf) Yildiray Yildirim
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