Forecasting Default

Topics:
Investment and Capital Markets
Tags:
Barra,
Forecasting,
I2 Technologies Inc.,
Marketing,
Marketing Research,
Model,
Pricing
Source:
Barra

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Overview: The paper gives an empirical assessment of I2, a structural credit model based on incomplete information. In this model, investors cannot observe a firm's default barrier. As a consequence, I2 exhibits both the economic appeal of a structural model and the tractable pricing formulae and empirical plausibility of a reduced form model. It compare default probability and credit spread forecasts generated by I2 and the well- known structural models of Merton (1974) and Black & Cox (1976).

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Format: PDF | Size: 746KB | Date: Jun 2004 | Pages: 27

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