Where can I get studies that list the empirical probability that the ﬁrm will go bankrupt over time, at a particular level of debt. For example a Firm with x% debt ratio has y% probability of going brankrupt

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danielle · Answer

I suggest the following: Look at synthatic ratings from Damodaran's website to see firms with a certain interest coverage ration what rating would be assigned to. Thentake a transition matrix (Moody's pr S&P's) and raise it to the power of the period that you want to investigate in years. then go to the the default probability column to take the probability of default