Essays about: "Distance-to-default"

Showing result 11 - 13 of 13 essays containing the word Distance-to-default.

  1. 11. Acceleration of Distance-to-Default with GPU

    University essay from KTH/Skolan för informations- och kommunikationsteknik (ICT)

    Author : Xin Lou; [2012]
    Keywords : ;

    Abstract : Distance-to-Default(DTD), which is used to describe the default risk of a rm, acts an important role in credit research. Nowadays, since we can access a large amount of historical data, we can get a more accurate DTD result. However, this directly increases the computation time as well as the computation power. READ MORE

  3. 12. Assessing the default risk of Chinese public companies in the energy industry with the KMV model

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Jie Duan; Shubiao Ren; [2011]
    Keywords : distance-to-default ; The KMV model; Merton; the share structure reform; credit risk; ST stock; Business and Economics;

    Abstract : The structural approach to credit risk modeling has gained a growing attention in both the academics and in the industry. In this dissertation, we outline the basic ideas and structures of the KMV (Merton) model and also explain some related issues before implementing this model. READ MORE

  4. 13. The Influence of Macroeconomic Factors on the Probability of Default

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Magnus Laurin; Olena Martynenko; [2009]
    Keywords : Distance to Default; Probability of Default; KMV; Panel data analysis; macroeconomic factors; structural models; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Abstract : The purpose of this study is to quantitatively verify the relationship between corporate default probability and macroeconomic information. The purpose is further to compare the results of the panel data analysis for the firms from the Large Cap Index with the empirical findings generated by a similar model for the firms from the Mid & Small Cap Indexes. READ MORE