Structural Credit Risk Models with Subordinated Processes

Table 2

Average values of ratio (𝐿/𝐴) and risk neutral PD and DD obtained from the KMV-Merton model.

Company	Average ratio (𝐿/𝐴)	Average PD	Average DD
(1) Boeing	0.1326	0.000830	8.9020
(2) Cisco Systems	0.0262	0.000000	20.6010
(3) Chevron	0.0613	0.000000	13.8524
(4) E. I. du Pont de Nemours	0.1169	0.000845	9.9706
(5) Walt Disney	0.1312	0.000083	8.5109
(6) Home Depot	0.0600	0.000002	11.8297
(7) Hewlett-Packard	0.0909	0.000511	8.3242
(8) IBM	0.1037	0.000000	11.4799
(9) Intel	0.0099	0.000000	14.2761
(10) Johnson & Johnson	0.0331	0.000000	22.8225
(11) Coca Cola	0.0615	0.000000	17.5142
(12) McDonalds	0.1031	0.000015	12.2037
(13) 3M	0.0493	0.000000	14.9342
(14) Merck & Co.	0.0611	0.000037	11.1672
(15) Microsoft	0.0068	0.000000	21.4008
(16) Pfizer	0.0815	0.000019	11.0915
(17) Procter & Gamble	0.1010	0.000000	13.9819
(18) AT&T	0.1619	0.000013	8.4346
(19) UnitedHealth Group	0.0924	0.002424	10.2912
(20) United Technologies	0.0800	0.000001	12.1045
(21) Verizon Communications	0.2117	0.000106	8.8750
(22) Wal Mart Stores	0.0957	0.000000	12.4895
(23) Exxon Mobil	0.0208	0.000000	18.0516
(24) Travelers Companies	0.1298	0.000035	8.9095