摘要：The accuracy of measuring credit risk directly decides on the intereston credit, which has to be paid when raising a credit, and the amountof capital to keep in reserve by a firm. The structural credit risk modelproposed by Merton (1974) lays the groundwork for the assessment of afirm’s credit risk by its default probability. Doubtlessly, the volatility ofthe firm’s equity represents the most sensitive parameter influencing thedefault probability. By combining the Merton approach with conditionalvolatility models, we empirically examine in this article that the specificationof conditional volatility affects the probability of default andtherefor the credit rating. More precisely, we show on German stockmarket data that financial market data properties (i.e. asymmetric responseof conditional volatility to return shocks and long-range dependencieswithin the conditional volatility) may not be neglected withinthe computation of credit risk. Moreover, the influence on the defaultprobability by the type of conditional distribution is pointed out
