Structural Modelling of Credit Spreads on the European Bond Market: An Empirical Study
This thesis empirically tests the explanatory power of structural models on the European corporate bond market. Using new evaluation methods, including LASSO and gradient boosting regression, we can provide an in-depth assessment of the models’ shortcomings. With these tools we show that the structural models tend to systematically overstate or understate the spread due to an oversensitivity to le
