Modeling Default Risk
By Peter J. Crosbie, Jeffrey R. Bohn. World Scientific Reference on Contingent Claims Analysis in Corporate Finance, 2019
154 citations recorded by the source corpus.
Default risk is the uncertainty surrounding a firm's ability to service its debts and obligations. Prior to default, there is no way to discriminate unambiguously between firms that will default and those that won't. At best we can only make probabilistic assessments of the likelihood of default. As a result, firms generally pay a spread over the default-free rate of interest that is proportional to their default probability to compensate lenders for this uncertainty. AUTHORS Peter Crosbie Jeff Bohn 415-352-1279 jeff.bohn@mkmv.com CONTACTS Ahmet Kocagil 212-553-3889 ahmet.kocagil@mkmv.com © 2003 Moody’s KMV Company. All rights reserved. Credit Monitor®, EDFCalc®, Private Firm Model®, KMV®, CreditEdge, Portfolio Manager, Portfolio Preprocessor, GCorr, DealAnalyzer, CreditMark, the KMV logo, Moody's RiskCalc, Moody's Financial Analyst, Moody's Risk Advisor, LossCalc, Expected Default Frequency, and EDF are trademarks of MIS Quality Management Corp. Published by: Moody’s KMV Company To Learn More Please contact your Moody’s KMV client representative, visit us online at www.moodyskmv.com, contact Moody’s KMV via e-mail at info@mkmv.com, or call us at: NORTH AND SOUTH AMERICA, NEW ZEALAND AND AUSTRALIA, CALL: 1 866 321 MKMV (6568) or 415 296 9669 EUROPE, THE MIDDLE EAST, AFRICA AND INDIA, CALL: 44 20 7778 7400 FROM ASIA CALL: 813 3218 1160
Subfields: Accounting, Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/fe74ef4bb41b2b4fa4979993af7d9b7504c8f55b
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Citations in the corpus
- Performance of default-risk measures: the sample matters (2020, background): “Furthermore, it implies that two firms with the same credit rating will also have the same default risk, although substantial differences in default rates may exist within the same bond rating class, as Crosbie and Bohn (2003) have shown.”
- Non-commercial Research and Educational Use including without Limitation Use in Instruction at Your Institution, Sending It to Specific Colleagues That You Know, and Providing a Copy to Your Institution's Administrator. All Other Uses, Reproduction and Distribution, including without Limitation Comm (2005, unknown): “NMR spectra were obtained at room temperature (298 K) by standard techniques on a Bruker Avance 400 MHz Inverse spectrometer.”