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Found 2 essays matching the above criteria.
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1. Predicting Corporate Defaults: Evaluating Moody's Credit Rating Institute
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : The ability of the Merton model and the logistic regression to accurately forecast corporate defaults is evaluated. Additionally, the probability-of-default (PD) estimates obtained from these two models are compared with the corresponding rating class historic default rates presented by Moody’s. READ MORE
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2. Econometric Methods and Monte Carlo Simulations for Financial Risk Management
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : Value-at-Risk (VaR) forecasting in the context of Monte Carlo simulations is evaluated. A range of parametric models is considered, namely the traditional Generalized Autore- gressive Conditional Heteroscedasticity (GARCH) model, the exponential GARCH and the GJR-GARCH, which are put in the context of the Gaussian and Student-t distri- butions. READ MORE