Mimicking Credit Ratings by a Perpetual-Debt Structural Model


In this paper, we outlined the general lines of a structural model that is based on the Leland model (1994), but differs from its assumptions about the tax regime. In the revised model, that we will call Perpetual Debt... [ view full abstract ]


  1. Gaia Barone (LUISS, Rome)

Topic Areas

Credit Risk , Risk Management


TU-A-B2 » Credit Risk 1 (11:30 - Tuesday, 17th July, Beckett 2)

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