ECB paper presents new corporate default prediction method

The European Central Bank, Frankfurt

A working paper published by the European Central Bank presents a new method for forecasting firms’ insolvency.

In Chronicle of a death foretold: does higher volatility anticipate corporate default? Miguel Ampudia, Filippo Busetto and Fabio Fornar present “distance to insolvency”, or DI.

The authors compare their model to two widely used measures: Moody’s expected default frequency (EDF) developed from Robert Merton’s model, and E I Altman’s Z-score. They examine which model has more power in

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Central Banking? View our subscription options

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a Central Banking account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: