Leland Endogenous Default Barrier Calculator

Compute optimal default barrier and credit spreads using Leland's (1994) endogenous default model. Equity holders choose when to default by maximizing equity value, balancing tax shields and bankruptcy costs

Each component has a specific meaning:

• Leland's endogenous default model — The leland's endogenous default model recorded for the scenario being assessed.

Note: Interpret the leland endogenous default result against the thresholds and context described above.

Enter the Leland's endogenous default model for the scenario you are assessing. Compute optimal default barrier and credit spreads using Leland's (1994) endogenous default model. Equity holders choose when to default by maximizing equity value, balancing tax shields and bankruptcy costs. Use the leland endogenous default result to inform your calculation.