This book models the default probabilities and credit spreads for select Indian firms in the Black-Scholes-Merton framework.In particular,it shows that the objective (or real) probability estimates are higher than the risk-neutral estimates over the sample period. However, the probability measure is found to be robust to the default trigger point. The model output also compares favorably with the default rate reported by CRISILs Average 1-year rating transitions as well as the Altman Z-score measure. However it does not generate spreads as high as those observed in the corporate bond market....