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Measuring Distance-to-Default for Financial and Non-Financial Firms

In: Global Credit Review

Author

Listed:
  • Jin-Chuan Duan

    (Risk Management Institute & Department of Finance, National University of Singapore, Singapore)

  • Tao Wang

    (Department of Finance, National University of Singapore, Singapore)

Abstract

The following sections are included:INTRODUCTIONTHE DISTANCE-TO-DEFAULTESTIMATION METHODSThe Market Value Proxy MethodThe Volatility Restriction MethodThe KMV MethodThe Transformed-Data Maximum Likelihood Estimation MethodOther Liabilities and the Transformed-Data MLE Estimation MethodCONCLUSIONNOTESREFERENCES

Suggested Citation

  • Jin-Chuan Duan & Tao Wang, 2012. "Measuring Distance-to-Default for Financial and Non-Financial Firms," World Scientific Book Chapters, in: Risk Management Institute, Singapore (ed.), Global Credit Review, chapter 6, pages 95-108, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814412643_0006
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