Structural models

Default as an option on the firm’s assets: at maturity, at a barrier, or when shareholders choose.

Merton’s structural model

Merton's structural model

Black and Cox: default at the first passage

Black and Cox: default at the first passage

Leland’s endogenous default and optimal leverage

Leland's endogenous default and optimal leverage

Crosbie and Bohn: the distance to default

Crosbie and Bohn: the distance to default