標題: EMPIRICAL STUDIES OF STRUCTURAL CREDIT RISK MODELS AND THE APPLICATION IN DEFAULT PREDICTION: REVIEW AND NEW EVIDENCE
作者: Lee, Han-Hsing
Chen, Ren-Raw
Lee, Cheng-Few
資訊管理與財務金融系 註:原資管所+財金所
Department of Information Management and Finance
關鍵字: Structural credit risk model;estimation approach;default prediction;Maximum Likelihood Estimation (MLE)
公開日期: 1-Dec-2009
摘要: This paper first reviews empirical evidence and estimation methods of structural credit risk models. Next, an empirical investigation of the performance of default prediction under the down-and-out barrier option framework is provided. In the literature review, a brief overview of the structural credit risk models is provided. Empirical investigations in extant literature papers are described in some detail, and their results are summarized in terms of subject and estimation method adopted in each paper. Current estimation methods and their drawbacks are discussed in detail. In our empirical investigation, we adopt the Maximum Likelihood Estimation method proposed by Duan [Mathematical Finance 10 (1994) 461-462]. This method has been shown by Ericsson and Reneby [Journal of Business 78 (2005) 707-735] through simulation experiments to be superior to the volatility restriction approach commonly adopted in the literature. Our empirical results surprisingly show that the simple Merton model outperforms the Brockman and Turtle [Journal of Financial Economics 67 (2003) 511-529] model in default prediction. The inferior performance of the Brockman and Turtle model may be the result of its unreasonable assumption of the flat barrier.
URI: http://dx.doi.org/10.1142/S0219622009003703
http://hdl.handle.net/11536/6332
ISSN: 0219-6220
DOI: 10.1142/S0219622009003703
期刊: INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING
Volume: 8
Issue: 4
起始頁: 629
結束頁: 675
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