Barrier-dependent Structural Models of Default Risk

Beschreibung

"Barrier-dependent Structural Models of Default Risk" contains three essays on the empirical application of structural models. The first essay compares commonly used estimation methods using Monte Carlo simulations. A new highly efficient estimation approach is introduced and compared to the benchmark methods. The second essay analyzes the empirical performance of the endogenous-default model by Leland and Toft (1996) using Credit Default Swap spreads and a sample of European firm bankruptcies. The third essay applies the Leland and Toft (1996) model to study how the costs and benefits of debt affect the optimal capital structure of firms.

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Nikolas Breitkopf

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