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Exploiting default probabilities in a structural model with nonconstant barrier

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  • Arianna Agosto
  • Enrico Moretto

Abstract

Structural models have been developed and used in financial literature to assess the probability of default of corporations. This article aims at reversing this approach, using this probability as an input and investigating if the default barrier can be considered flat, as done in similar analysis, or should more appropriately be time-varying.

Suggested Citation

  • Arianna Agosto & Enrico Moretto, 2012. "Exploiting default probabilities in a structural model with nonconstant barrier," Applied Financial Economics, Taylor & Francis Journals, vol. 22(8), pages 667-679, April.
  • Handle: RePEc:taf:apfiec:v:22:y:2012:i:8:p:667-679
    DOI: 10.1080/09603107.2011.621883
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