Peter Fledelius, David Lando and Jens Perch Nielsen Volume 2, Number 2, Second Quarter 2004 Non-parametric analysis of rating transition intensities is a powerful way of visualizing such effects and is therefore useful both for quickly understanding the behavior of a rating system and for exploring data before setting up a full statistical model. In… Read more
Special Issues
Structural Versus Reduced Form Models: A New Information Based Perspective
Robert A. Jarrow and Philip Protter Volume 2, Number 2, Second Quarter 2004 This paper compares structural versus reduced form credit risk models from an information based perspective. We show that the difference between these two models types can be characterized in terms of the information assumed known by the modeler. Structural models assure that… Read more
Predictions of Default Probabilities in Structural Models of Debt
Hayne E. Leland Volume 2, Number 2, Second Quarter 2004 This paper examines default probabilities predicted by alternative “structural” models of risky corporate debt. We focus on default probabilities rather than credit spreads because (i) they are not affected by additional market factors such as liquidity and tax differences; and (ii) prediction of the relative… Read more