Assessing Credit Risk of Companies with Mean-Reverting Leverage Ratios
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Gunter LÃ¶ffler & Alina Maurer, 2009. "Incorporating the Dynamics of Leverage into Default Prediction," SFB 649 Discussion Papers SFB649DP2009-024, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Löffler, Gunter & Maurer, Alina, 2011. "Incorporating the dynamics of leverage into default prediction," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3351-3361.
More about this item
KeywordsLeverage; Default probabilities; Credit risk;
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-07-20 (All new papers)
- NEP-BEC-2008-07-20 (Business Economics)
- NEP-RMG-2008-07-20 (Risk Management)
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