Structural Credit Risk Models with Subordinated Processes

Table 1

Average of some statistics for the daily log-returns of the companies' assets value obtained from the KMV-Merton model.

Mean	0.00002
St.dev.	0.0196
Skewness	−0.6140
Kurtosis	33.4351
JB test (95%)	96.77%
Alpha	1.7089
Beta	0.0062
Sigma	0.0106
Mu	0.0001
K-S test (95%)	16.56%