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dc.contributor.authorGündüz, Yalinen_US
dc.contributor.authorUhrig-Homburg, Marlieseen_US
dc.description.abstractThis study provides a rigorous empirical comparison of structural and reduced-form credit risk frameworks. As major difference we focus on the discriminative modeling of default time. In contrast to previous literature, we calibrate both approaches to bond and equity prices. By using same input data, applying comparable estimation techniques, and assessing the out-of-sample prediction quality on same time series of CDS prices we are able to judge whether empirically the model structure itself makes an important difference. Interestingly, the models' prediction power is quite close on average. Still, the reduced-form approach outperforms the structural for investment-grade names and longer maturities.en_US
dc.publisherDeutsche Bundesbank Frankfurt a. M.en_US
dc.relation.ispartofseriesDiscussion Paper Series 2: Banking and Financial Studies 2011,05en_US
dc.subject.keywordcredit risken_US
dc.subject.keywordstructural modelsen_US
dc.subject.keywordreduced-form modelsen_US
dc.subject.keyworddefault intensityen_US
dc.subject.keywordstationary leverageen_US
dc.subject.keywordcredit default swapsen_US
dc.titleDoes modeling framework matter? A comparative study of structural and reduced-form modelsen_US
dc.typeWorking Paperen_US
Appears in Collections:Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank

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