Mimicking Credit Ratings by a Perpetual-Debt Structural Model

Barone, Gaia (2016) Mimicking Credit Ratings by a Perpetual-Debt Structural Model. In: 7th World Finance Conference, 29th-21st July 2016, St John's University, New York City, USA. (Submitted)

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Abstract

The aim of this paper is to fit Moody’s default rates by a “Perpetual-Debt Structural Model”. We show that a single economy-wide factor, V, is sufficient to describe Moody’s data, given some parameters that contribute to measure firm’s leverage, payout policy and business risk. The model allows to estimate default probabilities for any time horizon and any class of rating, conditioned on the current state of the economy

Item Type:	Conference or Workshop Item (Paper)
Subjects:	H Social Sciences > HG Finance H Social Sciences > HG Finance > Credit. Debt. Loans.
Divisions:	School of Business > Staff Research and Publications
Depositing User:	Caoimhe Ní Mhaicín
Date Deposited:	13 Sep 2018 11:47
Last Modified:	13 Sep 2018 11:47
URI:	https://norma.ncirl.ie/id/eprint/3117

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