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6 Bankruptcy prediction and structural
credit risk models
Andreas Charitou, Neophytos Lambertides and Lenos Trigeorgis
6.1. Introduction
Default is triggered by a firm’s failure to meet its financial obligations.
Default probabilities and changes in expected default frequencies affect
markets participants, such as investors and lenders, since they assume
responsibility for the credit risk of their investments. The lack of a solid
economic understanding of the factors that determine bankruptcy makes
explanation and prediction of default difficult to assess. However, the
accuracy of these predictors is essential for sound risk management and for
evaluation of the vulnerability of corporations and institutional lenders. In
recognition of this, the new capital adequacy framework (Basel II) envisages
a more active role for banks in measuring the default risk of their loan
books. The need for reliable measures of default or credit risk is clear to all.
The accounting and finance literature has produced a variety of models
attempting to predict or measure default risk. There are two primary types
of models that describe default processes in the credit risk literature:
structural models and reduced-form models. Structural models use the
evolution of a firm’s structural variables, such as asset and debt values, to
determine the timing of default. Merton’s model (1974) is considered the
first structural model. In Merton’s model, a firm defaults if, at the time of
servicing the debt at debt maturity, its assets are below its out
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