Empirical comparison of structural credit risk models for Bankruptcy Prediction of Financial Institutions in US.

• Main Authors: Tan, Jeren Shue Lien., Tan, Soon Lye., Ting, Huiying.
• Other Authors: Lee, Hon Sing
• Format: Final Year Project
• Published: 2008
• Subjects: DRNTU::Business::Finance::Risk management
• Online Access: http://hdl.handle.net/10356/10364
• Institution: Nanyang Technological University

In this paper, we compare and analyse the expected default probabilities (EDPs) derived from the six structural models: Merton model, Leland and Toft model, Longstaff and Schwartz model, Briys de Varenne model and the recent Ericsson and Reneby model. In our comparison, we cover the aspects of EDP r...