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Extending the Merton Model: A hybrid approach to assessing credit quality
Alexandros Benos
, George Papanastasopoulos
University of Piraeus
Research output
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peer-review
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Dive into the research topics of 'Extending the Merton Model: A hybrid approach to assessing credit quality'. Together they form a unique fingerprint.
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Keyphrases
Hybrid Method
100%
Risk-neutral
100%
Merton Model
100%
Credit Quality
100%
Distance to Default
100%
Financial Ratios
80%
Explanatory Variables
60%
Hybrid Model
60%
Financial Accounting
60%
Ratio Variables
60%
Accounting Variables
60%
Merton
20%
Capital Structure
20%
Credit Rating
20%
Regression Method
20%
Out-of-sample Forecasting
20%
Econometric Methods
20%
Ordered Probit Regression
20%
Credit Evaluation
20%
Incremental Information
20%
In-sample Fit
20%
Accounting Measures
20%
Contingent Claims Analysis
20%
Default Point
20%
New Risks
20%
Dividend Payout
20%
Economics, Econometrics and Finance
Econometrics
25%