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(Although the question was asked long time ago it may be of help for others as well) You may want to have a look at Nagel and Purnanandam (2015) Bank Risk Dynamics and Distance to Default (https://www.bundesbank.de/Redaktion/EN/Downloads/Bundesbank/Research_Centre/Conferences/2016/2016_06_10_eltville_08_paper_nagel.pdf?__blob=publicationFile) The authors ...


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What you're looking for looks to be more in the realm of a mathematical model (specific to the company's size, available liquidity, and industry). Credit Risk Pricing Models may provide a decent overview of how to build such a model. Unfortunately duration/convexity will only help you capture the interest rate risk on your bonds, and not any of the ...



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