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Robert Stamicar
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Articles by Robert Stamicar
Incorporating Equity Derivatives into the CreditGrades Model
Research Report | Jun 1, 2005 | Christopher Finger, Robert StamicarIn this paper, we extend the CreditGrades model by using implied volatilities as an alternative to the standard model by way of two approaches. The first approach is to estimate asset volatility by replacing equity volatility with implied volatility, while keeping the same leverage estimate from the standard approach. The second extends the first by not only estimating asset volatility from options data, but also implying leverage from market data (see Hull, Nelken, and White (2005) for a...