Essays about: "Merton model"
Showing result 6 - 10 of 61 essays containing the words Merton model.
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6. Risk Assessment of International Mixed Asset Portfolio with Vine Copulas
University essay from Linköpings universitet/Tillämpad matematik; Linköpings universitet/Tekniska fakultetenAbstract : This thesis gives an example of assessing the risk of a financial portfolio with international assets, where the assets may be of different classes, by the use of Monte Carlo simulation and Extreme Value Theory. The simulation uses univariate modelling, models of the assets’ returns as stochastic processes, as well as vine copulas to create dependency between the variables. READ MORE
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7. The Impact of Mergers & Acquisitions on Credit- and Investment risk. : -Evidence from Sweden
University essay from Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)Abstract : We examine the impact of Mergers & Acquisitions on credit- and investment risk using a sample of 402 acquisitions by 215 Swedish firms from 2000 to 2020. We find significant evidence that, on average, M&A increases the credit risk and inversely decreases the investment risk of the acquiring firm. READ MORE
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8. Swaptions from a Clearinghouse perspective : Hedging swaptions, an option on interest rate swaps, using compression
University essay from Umeå universitet/Institutionen för fysikAbstract : With the increasing popularity of interest rate swaps the need to understandswaptions, an option of an interest rate swap, is of great importance. A swap-tion can be used in both speculative purposes and to hedge against changesin interest rates. The most important thing to understand is the pricing for-mula. READ MORE
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9. Corporate default prediction: a comparison between Merton model and random forest in an environment of data scarcity
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : The aim of this paper is to compare the performance of the Merton model to a machine learning technique (random forest), in a context where the number of predictors is low or the dataset is quite small. Since random forest is a data-intensive method, the main goal is to find the minimum number of explanatory variables and observations that is needed for it to perform at least as well as the Merton model, an approach developed in the 70s that gives the probability of the firm defaulting. READ MORE
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10. Monte-Carlo Based Pricing of American Options Using Known Characteristics of the Expected Continuation Value Function
University essay from Lunds universitet/Matematisk statistikAbstract : The problem of pricing American stock options is far more complex than pricing European options due to the possibility of early execution. This feature means that the decision to either hold on to the option or exercising it early must be continually evaluated, leading to closed form solutions such as the Black-Scholes Formula to not be applicable on American options written on dividend paying assets. READ MORE