Estimation of Default Provability by the Structured Model

DOI

Bibliographic Information

Other Title
  • 構造モデルによる企業倒産確率の推定
  • Evidence from Japanese Corporate Bond Market
  • 日本の社債市場における実証研究

Description

In this research, it proposes to use the value of the expected default probability presumed by the structured model as the risk measure of the corporate bond. Moreover, it verifies from real market data that the presumed default probability can be used not only to predict corporate default but also to get excess return from corporate bond investment.

Journal

Keywords

Details 詳細情報について

  • CRID
    1390001205663573632
  • NII Article ID
    130004651555
  • DOI
    10.11487/oukan.2007.0.128.0
  • Text Lang
    ja
  • Data Source
    • JaLC
    • CiNii Articles
  • Abstract License Flag
    Disallowed

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