Structural Credit Risk Models
Nielsen, Mads Gjedsted![Structural Credit Risk Models](https://support.digitalhusky.com/media/annotations/sorted/110/11002671/CHSBZCOP0311002671.jpg)
Three different credit risk models are presented, implemented, and calibrated to real data. Each of which presents a different way to model the dynamics of a firm. To better examine their differences, the models are benchmarked against the much celebrated Merton''s model. Generally it is shown that structural credit risk models have empirical validity. However, all is not perfect. Since structural credit risk models may have two objectives. On...