One alternative to accounting‐based models are market‐based models, which provide elegant economic theory and commercial support by Moody's KMV. Among them the structural models developed from the work of Merton (1974) are worthy of note. They are based on the option‐pricing theory to appraise the debts issued by a company and its default probability. Structural models are characterized by their dependence on the company's capital structure due to the fact that the default probabilities that stem from applying these models answer to the market value of the shares and to the individual details of the company's capital structure taking into account taxes and bankruptcy costs. The models proposed by Merton (1974), Black and Cox (1976), Geske (1977), Longstaff and Schwartz (1995), Leland and Toft (1996), Ericsson and Reneby (1998) and Collin‐Dufresne and Goldstein (2001) stand out.Patel and Pereira (2007) present a comparative analysis of credi