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Corporate Default Risk: Charter Communications GSB F320 Debt Markets, February, 2007 Andreas Eckner (RA) and Darrell Du

Corporate Default Risk: Charter Communications GSB F320 Debt Markets, February, 2007 Andreas Eckner (RA) and Darrell Duffie. Equity Value. Long- and Short-term Debt. Short + ½ Long-term Debt. Implied Total Assets. Everything Combined. Distance to Default.

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Corporate Default Risk: Charter Communications GSB F320 Debt Markets, February, 2007 Andreas Eckner (RA) and Darrell Du

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  1. Corporate Default Risk: Charter CommunicationsGSB F320 Debt Markets, February, 2007Andreas Eckner (RA) and Darrell Duffie

  2. Equity Value

  3. Long- and Short-term Debt

  4. Short + ½ Long-term Debt

  5. Implied Total Assets

  6. Everything Combined

  7. Distance to Default

  8. Empirical Relationship (1980-2004): DTD and One-year Default Probability

  9. 5yr CDS Rate

  10. Default Intensity (Frailty Model)Duffie, Eckner, Horel, Saita (2006) DTDt … distance to default at time t Rett … trailing 1-year stock return r3m,t … 3-month interest rate SnPt … trailing 1-year return of S&P 500 index Yt … frailty variable at time t

  11. Default Intensity (no Frailty)Duffie, Eckner, Horel, Saita (2006) DTDt … distance to default at time t Rett … trailing 1-year stock return r3m,t … 3-month interest rate SnPt … trailing 1-year return of S&P 500 index

  12. Historical Default Intensity

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