. 

Publications


Working Papers N° 689: The Impact of Persistence in Volatility over the Probability of Default

Autor: Rodrigo Alfaro , Natán Golberger


Description

We evaluate the impact of persistence in volatility over the probability of default in Merton’s credit risk model. Our main conclusion is that a high degree of persistence, as it is observed in equity returns, implies a lower probability of default for those cases where firms possess a high level of leverage.

Working Papers N° 689: The Impact of Persistence in Volatility over the Probability of Default
 
Share: