  In this paper we present a novel approach for firm default probability
estimation. The methodology is based on multivariate contingent claim analysis
and pair copula constructions. For each considered firm, balance sheet data are
used to assess the asset value, and to compute its default probability. The
asset pricing function is expressed via a pair copula construction, and it is
approximated via Monte Carlo simulations. The methodology is illustrated
through an application to the analysis of both operative and defaulted firms.
