Matches in SemOpenAlex for { <https://semopenalex.org/work/W2008301397> ?p ?o ?g. }
Showing items 1 to 80 of
80
with 100 items per page.
- W2008301397 endingPage "1369" @default.
- W2008301397 startingPage "1339" @default.
- W2008301397 abstract "We examine the accuracy and contribution of the Merton distance to default (DD) model, which is based on Merton's (1974) bond pricing model. We compare the model to a “naive” alternative, which uses the functional form suggested by the Merton model but does not solve the model for an implied probability of default. We find that the naive predictor performs slightly better in hazard models and in out-of-sample forecasts than both the Merton DD model and a reduced-form model that uses the same inputs. Several other forecasting variables are also important predictors, and fitted values from an expanded hazard model outperform Merton DD default probabilities out of sample. Implied default probabilities from credit default swaps and corporate bond yield spreads are only weakly correlated with Merton DD probabilities after adjusting for agency ratings and bond characteristics. We conclude that while the Merton DD model does not produce a sufficient statistic for the probability of default, its functional form is useful for forecasting defaults." @default.
- W2008301397 created "2016-06-24" @default.
- W2008301397 creator A5004762104 @default.
- W2008301397 creator A5081927091 @default.
- W2008301397 date "2008-05-01" @default.
- W2008301397 modified "2023-10-14" @default.
- W2008301397 title "Forecasting Default with the Merton Distance to Default Model" @default.
- W2008301397 cites W1629883981 @default.
- W2008301397 cites W3121214655 @default.
- W2008301397 cites W3122064234 @default.
- W2008301397 cites W3122632517 @default.
- W2008301397 cites W3123097597 @default.
- W2008301397 cites W3123201237 @default.
- W2008301397 cites W3123300179 @default.
- W2008301397 cites W3123829312 @default.
- W2008301397 cites W3125168868 @default.
- W2008301397 cites W3125346872 @default.
- W2008301397 cites W3125744792 @default.
- W2008301397 cites W4233781758 @default.
- W2008301397 cites W4247171853 @default.
- W2008301397 cites W4301003819 @default.
- W2008301397 doi "https://doi.org/10.1093/rfs/hhn044" @default.
- W2008301397 hasPublicationYear "2008" @default.
- W2008301397 type Work @default.
- W2008301397 sameAs 2008301397 @default.
- W2008301397 citedByCount "1340" @default.
- W2008301397 countsByYear W20083013972012 @default.
- W2008301397 countsByYear W20083013972013 @default.
- W2008301397 countsByYear W20083013972014 @default.
- W2008301397 countsByYear W20083013972015 @default.
- W2008301397 countsByYear W20083013972016 @default.
- W2008301397 countsByYear W20083013972017 @default.
- W2008301397 countsByYear W20083013972018 @default.
- W2008301397 countsByYear W20083013972019 @default.
- W2008301397 countsByYear W20083013972020 @default.
- W2008301397 countsByYear W20083013972021 @default.
- W2008301397 countsByYear W20083013972022 @default.
- W2008301397 countsByYear W20083013972023 @default.
- W2008301397 crossrefType "journal-article" @default.
- W2008301397 hasAuthorship W2008301397A5004762104 @default.
- W2008301397 hasAuthorship W2008301397A5081927091 @default.
- W2008301397 hasConcept C10138342 @default.
- W2008301397 hasConcept C106159729 @default.
- W2008301397 hasConcept C133930124 @default.
- W2008301397 hasConcept C149782125 @default.
- W2008301397 hasConcept C162324750 @default.
- W2008301397 hasConcept C175444787 @default.
- W2008301397 hasConcept C2864544 @default.
- W2008301397 hasConcept C29122968 @default.
- W2008301397 hasConcept C69637215 @default.
- W2008301397 hasConceptScore W2008301397C10138342 @default.
- W2008301397 hasConceptScore W2008301397C106159729 @default.
- W2008301397 hasConceptScore W2008301397C133930124 @default.
- W2008301397 hasConceptScore W2008301397C149782125 @default.
- W2008301397 hasConceptScore W2008301397C162324750 @default.
- W2008301397 hasConceptScore W2008301397C175444787 @default.
- W2008301397 hasConceptScore W2008301397C2864544 @default.
- W2008301397 hasConceptScore W2008301397C29122968 @default.
- W2008301397 hasConceptScore W2008301397C69637215 @default.
- W2008301397 hasIssue "3" @default.
- W2008301397 hasLocation W20083013971 @default.
- W2008301397 hasOpenAccess W2008301397 @default.
- W2008301397 hasPrimaryLocation W20083013971 @default.
- W2008301397 hasRelatedWork W149059278 @default.
- W2008301397 hasRelatedWork W1821766307 @default.
- W2008301397 hasRelatedWork W1971583939 @default.
- W2008301397 hasRelatedWork W1983893063 @default.
- W2008301397 hasRelatedWork W2048021833 @default.
- W2008301397 hasRelatedWork W2187783179 @default.
- W2008301397 hasRelatedWork W2295434507 @default.
- W2008301397 hasRelatedWork W2598869589 @default.
- W2008301397 hasRelatedWork W3124680150 @default.
- W2008301397 hasRelatedWork W581330862 @default.
- W2008301397 hasVolume "21" @default.
- W2008301397 isParatext "false" @default.
- W2008301397 isRetracted "false" @default.
- W2008301397 magId "2008301397" @default.
- W2008301397 workType "article" @default.